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[WAGON WHEEL]
OVERLAND
EXPRESS-R-
SEMI-ANNUAL REPORT
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J U N E 3 0 , 1 9 9 6
Asset Allocation Fund
California Tax-Free Bond Fund
California Tax-Free Money Market Fund
Money Market Fund
Municipal Income Fund
Short-Term Government-Corporate Income Fund
Short-Term Municipal Income Fund
Strategic Growth Fund
U.S. Government Income Fund
U.S. Treasury Money Market Fund
Variable Rate Government Fund
[PHOTO OF HORSES DRAWING STATECOACH]
OVERLAND EXPRESS FUNDS ARE NOT
FDIC INSURED AND ARE NOT OBLIGATIONS OF
OR GUARANTEED BY WELLS FARGO BANK
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[LOGO]
TABLE OF CONTENTS
LETTER TO SHAREHOLDERS......................................2
MANAGER COMMENTS............................................4
PORTFOLIOS OF INVESTMENTS
Asset Allocation Fund....................................24
California Tax-Free Bond Fund............................40
California Tax-Free Money Market Fund....................52
Money Market Fund........................................60
Municipal Income Fund....................................62
Master Investment Trust - Capital Appreciation Master
Portfolio...............................................67
Master Investment Trust - Short-Term Government-Corporate
Income Master Portfolio.................................75
Master Investment Trust - Short-Term Municipal Income
Master Portfolio........................................76
U.S. Government Income Fund..............................81
U.S. Treasury Money Market Fund..........................84
Variable Rate Government Fund............................85
OVERLAND EXPRESS FUNDS
Statement of Assets and Liabilities......................88
Statement of Operations..................................91
Statements of Changes in Net Assets......................94
Financial Highlights....................................100
Notes to Financial Statements...........................120
MASTER INVESTMENT TRUST
Statement of Assets and Liabilities.....................131
Statement of Operations.................................132
Statements of Changes in Net Assets.....................133
Notes to Financial Statements...........................135
LIST OF ABBREVIATIONS.....................................139
OVERLAND EXPRESS FUNDS ARE NOT FDIC INSURED, ARE NOT
OBLIGATIONS OF WELLS FARGO BANK OR AFFILIATES OF BZW
BARCLAYS GLOBAL INVESTORS, N.A. AND ARE NOT GUARANTEED BY
EITHER WELLS FARGO BANK OR AFFILIATES OF BZW BARCLAYS
GLOBAL INVESTORS, N.A. OVERLAND EXPRESS FUNDS INVOLVE
INVESTMENT RISK, INCLUDING POSSIBLE LOSS OF PRINCIPAL.
OVERLAND EXPRESS MONEY MARKET FUNDS SEEK TO MAINTAIN A
STABLE NET ASSET VALUE OF $1.00 PER SHARE; HOWEVER, THERE
CAN BE NO ASSURANCE THAT THE FUNDS WILL MEET THIS
OBJECTIVE.
WELLS FARGO BANK PROVIDES INVESTMENT ADVISORY SERVICES AND
CERTAIN OTHER SERVICES FOR THE OVERLAND EXPRESS FUNDS. THE
FUNDS ARE SPONSORED AND DISTRIBUTED BY STEPHENS INC.,
MEMBER NYSE/SIPC.
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TO OUR SHAREHOLDERS
CROSSCURRENTS IN THE STOCK AND BOND MARKETS
Broadly speaking, the stock and bond markets followed different paths during the
first half of 1996. The stock market's rise was primarily due to the economy's
strength and robust corporate profits, providing the foundation for positive
returns in the stock market. Growth stock funds, in particular, produced strong
returns as the demand for small capitalization stocks increased and record
amounts of money flowed into equity mutual funds.
The bond market moved in a different direction. Fears of "too much strength" in
the economy and the potential increase in inflation pushed long-term interest
rates up approximately 1%, from 5.95% to 6.87%. This increase in yields during
the first half of the year resulted in negative total returns for bonds with
maturities over four years. On the other hand, after a difficult 1995, the
municipal bond market fared well, with municipal bonds outperforming their
taxable counterparts by up to 2%.
THE STOCK MARKET
The stock market's rise was driven by three key elements: strong corporate
profit, attractive valuations and a positive flow of investments into equities.
A review of these factors suggests that the market may drift for a period,
although the fundamental backdrop remains positive.
The strength and sustained growth of corporate profits is the underlying support
for stock prices. Although the rate of profit growth is expected to slow from
double digits to more normal levels, corporate profit growth is expected to
continue through this year and into 1997. As expectations for earnings growth
become moderate in the short term, stock prices are likely to adjust
accordingly. Nevertheless, companies demonstrating the ability to sustain
profitability and increase earnings over the long run could be rewarded with
higher stock prices.
1995's declining interest-rate environment and rising profits have helped stock
price valuations remain attractive over the last 18 months. In the recent
environment of rising interest rates, company price-to-earnings ratios have been
on the higher side relative to historical standards. Other valuation measures
such as price-to-book value and dividend yield may be considered higher than in
the past as well. Barring a sharp rise in interest rates, our outlook for the
equity market is for increasing stock prices merited by strong corporate
earnings growth.
Increased cash flows into equities is the third component of the market's rise.
Net purchases of equity mutual funds have been at record levels since the start
of the year, spurring demand for stocks. Meanwhile the supply of stocks has
become somewhat limited due to the number of mergers and acquisitions, as well
as stock repurchase plans.
THE BOND MARKET
Interest rates rose as a number of factors suggested an increase in inflation.
Worries over wage pressures, signs of a strong economy and the anticipation that
the Federal Reserve (the "Fed") would shift to credit tightening and higher
interest rates sparked inflation fears. The possibility exists that a quarter
percentage point increase in the federal funds target rate
2
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(now at 5.25%) could be announced at the August 20, 1996 Federal Open Market
Committee ("FOMC") meeting. If so, this will be the Fed's first interest-rate
increase in 17 months. If the recent past is any guide, the fixed income market
and financial institutions are likely to respond to this move with moderate
across-the-board interest-rate increases, led by intermediate rates in the two-
to five-year maturity range.
Economic growth ultimately could slow to a more moderate and sustainable 2% to
3% rate in response to the first half's rising interest rates, weakened
household finances and more cautious lending practices.
Bond market conditions so far this year were similar to that of 1994's, when the
yield on 30-year Treasury bonds rose more than 1.80% amid successive rounds of
tightening credit by the Fed. However, if the Fed does begin to tighten credit
this year, the increase in bond yields is not expected to be as significant as
it was in 1994. The reasons are that long-term interest rates are already up
more than a percentage point this year, the target federal funds rate would be
higher and bank credit standards are being tightened. In addition to this, the
economy's aging growth cycle indicates that less tightening will be needed to
slow the economy.
Therefore, we believe the risk of a substantial increase in interest rates is
low. We ultimately expect interest rates to begin to decrease by late 1996 as
slowing economic growth eases inflation fears.
A LONG-TERM FOCUS
This second half of 1996 could be characterized by a slowdown in activity as
investors' lack of clear investment direction leads to indecision. During these
"summer doldrums," investors have a chance to reinforce their long-term approach
to investing. The recent decline in stock prices has made many stocks more
attractive and represents good buying opportunities. In addition, the increase
in interest rates is providing an opportunity to capture additional income
through the bond sector, while maintaining moderate risk. While this provides a
good way to capture current income, it is critical not to shy away from the
longer-term potential. Although the financial markets are not without risks and
uncertainties, today's opportunities can provide the foundation for a long-term
investment plan.
A COMMITMENT TO INVESTMENT QUALITY
We believe a conservative straightforward approach is the most effective
long-term investment strategy. We offer a variety of Overland Express Funds to
meet your financial goals. On the following pages you will find reports from the
investment adviser and portfolio managers of each of the Funds, offering insight
into individual Fund performance, strategies, portfolio holdings and other
helpful information.
We appreciate your participation in the Overland Express Funds. We will continue
working diligently to help you realize your financial goals.
OVERLAND EXPRESS FUNDS, JULY 1996
3
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OVERLAND EXPRESS ASSET ALLOCATION FUND
Q. THE OVERLAND EXPRESS ASSET ALLOCATION FUND USES AN ASSET ALLOCATION STRATEGY.
WHAT IS THE BASIS BEHIND THIS STRATEGY?
A. The Asset Allocation Fund uses a disciplined quantitative model to compare
risk and return for different asset classes. The model's recommendation is
driven by the expected returns of stocks, bonds and cash. Through time the model
will recommend different allocations to stocks, bonds and cash in order to
capture the best return without taking unreasonable risk.
Q. DURING 1994 AND 1995, STOCK AND BOND PRICES SEEMED TO MOVE TOGETHER. HOW HAVE
THEY DONE RELATIVE TO ONE ANOTHER IN 1996?
A. The stock and bond markets are generally related, often moving together over
various time periods as we saw in 1994 and 1995. However, they are not
intrinsically linked. 1996 provides an example when we have seen an increase in
volatility between stocks and bonds. While equities have been steadily moving
upwards throughout the first two quarters of 1996, bonds have been steadily
moving in the opposite direction, providing a distinct counterpoint to the
situation over the previous two years.
Q. DURING THE FIRST HALF OF 1996, WHAT FACTORS INFLUENCED THE ALLOCATION OF THE
FUND?
A. Beginning in January, the Fund gradually increased its allocation in U.S.
Treasury bonds as it viewed bonds as more attractive relative to stocks and cash
instruments. Beginning in January, the Fund's portfolio consisted approximately
of 96% in S&P 500 stocks and 4% in cash instruments. As bonds became
increasingly attractive, the allocation shifted to approximately 80% in S&P 500
stocks and 20% in U.S. Treasury bonds. As of June 30, 1996 the portfolio
consisted of approximately 70% in S&P 500 stocks, 28% in U.S. Treasury bonds and
2% in cash instruments.
Currently the asset allocation model indicates that equities are modestly
overvalued relative to bonds and bonds are fairly valued relative to cash.
However, significant changes in any of these markets could change this outlook
at any time during the year.
Q. THE FUND POSTED MODEST RETURNS FOR THE FIRST HALF OF THE YEAR. WHAT FACTORS
AFFECTED THE PERFORMANCE?
A. The returns for stocks and bonds have been modest for the first six months of
1996 relative to the first six months of 1995. In addition to this, the returns
have been achieved in a comparatively stable stream. This means that there has
been little monthly variation between the returns of each asset class. When this
is the case, there is modest value to be gained from shifting across the asset
classes and, therefore, returns are unlikely to exceed the return of the best
performing asset class.
Q. WHAT IS THE INDUSTRY BREAKDOWN OF THE S&P 500?
A. As of 6/30/96, the industry breakdown is as follows: basic materials - 5.47%,
capital goods - 8.63%, consumer cyclicals - 13.42%, consumer staples - 13.06%,
energy - 8.71%, utilities - 8.61%, transportation - 1.60%, technology - 16.95%,
healthcare - 10.06%, finance - 13.49%.
THE S&P 500 INDEX IS A TRADEMARK OF STANDARD AND POOR'S CORPORATION AND IS AN
UNMANAGED INDEX THAT TRACKS THE PERFORMANCE OF 500 INDUSTRIAL, TRANSPORTATION,
UTILITY AND FINANCIAL COMPANIES.
4
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OVERLAND EXPRESS ASSET ALLOCATION FUND
................................................................................
<TABLE>
<CAPTION>
CLASS A PERFORMANCE AS OF 6/30/96 SINCE INCEPTION
AVERAGE ANNUAL 1-YEAR 3-YEAR 5-YEAR (4/7/88)
<S> <C> <C> <C> <C>
................................................................................................
Total Returns w/Load 17.09% 13.09% 13.92% 11.67%
Total Returns w/o Load 22.62% 14.84% 14.97% 12.30%
</TABLE>
<TABLE>
<CAPTION>
CLASS D PERFORMANCE AS OF 6/30/96 SINCE INCEPTION
AVERAGE ANNUAL 1-YEAR W/CDSC 1-YEAR W/O CDSC (7/1/93)
<S> <C> <C> <C>
................................................................................................
Total Returns 20.97% 21.97% 14.13%
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS FOR THE INDICATED PERIODS ASSUME SHARES WERE
PURCHASED AT THE OFFERING PRICE, WHICH INCLUDES WHERE INDICATED, THE MAXIMUM
4.5% INITIAL SALES CHARGE FOR CLASS A SHARES, AND FOR CLASS D SHARES, THE 1%
CONTINGENT DEFERRED SALES CHARGE ("CDSC"). THIS REPRESENTS THE AVERAGE ANNUAL
INCREASE IN VALUE OF THE INVESTMENT OVER THE INDICATED PERIODS, ASSUMING
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS DISTRIBUTIONS AT NET ASSET VALUE.
YOUR INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE WITH MARKET
CONDITIONS, SO THAT YOUR SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN
THEIR ORIGINAL COST. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
CLASS A SHARES HAVE BEEN OFFERED SINCE APRIL 7, 1988, AND CLASS D SHARES HAVE
BEEN OFFERED SINCE JULY 1, 1993. THE AVERAGE ANNUAL TOTAL RETURN FOR 1-YEAR WITH
CDSC REFLECTS THE CONTINGENT DEFERRED SALES CHARGE IMPOSED ON REDEMPTIONS WITHIN
THE FIRST YEAR OF PURCHASING SHARES.
DURING THE PERIOD, WELLS FARGO BANK HAS VOLUNTARILY WAIVED PORTIONS OF ITS FEES
OR ASSUMED RESPONSIBILITY FOR OTHER EXPENSES, WHICH HAS REDUCED OPERATING
EXPENSES FOR SHAREHOLDERS. WITHOUT THESE REDUCTIONS, THE FUND'S RETURNS WOULD
HAVE BEEN LOWER. THE FEE WAIVER MAY BE DISCONTINUED AT ANY TIME.
5
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OVERLAND EXPRESS CALIFORNIA TAX-FREE BOND FUND
DAVID KLUG, SENIOR TAX-EXEMPT SPECIALIST/PORTFOLIO MANAGER. MR. KLUG HAS MANAGED
MUNICIPAL BOND PORTFOLIOS FOR WELLS FARGO BANK FOR OVER TEN YEARS. PRIOR TO
JOINING WELLS FARGO BANK, HE MANAGED THE MUNICIPAL BOND PORTFOLIO FOR A MAJOR
PROPERTY AND CASUALTY INSURANCE COMPANY. HIS INVESTMENT EXPERIENCE EXCEEDS 20
YEARS AND INCLUDES ALL ASPECTS OF TAX-EXEMPT FIXED-INCOME INVESTMENTS. HE HOLDS
AN M.B.A. FROM THE UNIVERSITY OF CHICAGO AND IS A MEMBER OF THE NATIONAL
FEDERATION OF MUNICIPAL ANALYSTS AND ITS CALIFORNIA CHAPTER. HE HAS MANAGED THE
FUND SINCE ITS INCEPTION.
Q. THE OVERLAND EXPRESS CALIFORNIA TAX-FREE BOND FUND REMAINED COMPETITIVE WITH
ITS BENCHMARK, THE LEHMAN BROTHERS MUNICIPAL BOND INDEX. WHAT FACTORS ARE
TAKEN INTO CONSIDERATION FOR SECURITY SELECTION?
A. The Fund seeks to provide investors with a high level of income exempt from
federal income taxes and California personal income taxes while maintaining high
credit quality. We consider a number of factors in security selection for the
Fund. Our main concern is maintaining high credit quality in the portfolio. We
attempt to do this by emphasizing investments in investment-grade bonds -- those
rated in one of the four highest categories by a national credit rating agency
such as Moody's or Standard and Poor's. We do not buy non-rated issues and more
than half of our holdings are AAA-rated. When we purchase insured credits, we
consider the underlying credit as well. We also consider a number of factors we
feel are important to high quality securities such as bond structure, call
protection on the bond and tax or revenue backing for the issue.
Q. THE ORANGE COUNTY BANKRUPTCY HAS FINALLY WORKED ITS WAY THROUGH THE COURTS.
HOW DOES THIS AFFECT THE FUND?
A. The resolution of the Orange County bankruptcy has been a positive factor for
the California bond market. Non-Orange County issues should not be affected by
the bankruptcy on an ongoing basis.
The Fund does not hold any Orange County issues that are not credit enhanced
(for example, backed by a line of credit) or revenue-backed (backed by the
income from a particular project) so it is anticipated that the resolution of
the bankruptcy will have no direct impact on the Fund.
Q. WHAT STRATEGY WILL YOU TAKE FOR THE BALANCE OF 1996?
A. The Fund will continue to emphasize high credit quality and call protection
in its new purchases. We expect to remain neutral on the market for the balance
of 1996, not making any significant moves should the economic environment
continue. We will continue to seek to provide investors a high level of income
exempt from federal income taxes and from California personal income taxes while
preserving capital, by investing in medium- to long-term California municipal
securities.
THE LEHMAN BROTHERS MUNICIPAL BOND INDEX IS AN UNMANAGED INDEX THAT INCLUDES
APPROXIMATELY 15,000 BONDS. INVESTORS SHOULD NOTE THAT THE FUND IS A
PROFESSIONALLY MANAGED MUTUAL FUND, WHILE THE INDEX IS UNMANAGED, DOES NOT INCUR
EXPENSES AND IS NOT AVAILABLE DIRECTLY FOR INVESTMENT.
6
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OVERLAND EXPRESS CALIFORNIA TAX-FREE BOND FUND
................................................................................
<TABLE>
<CAPTION>
CLASS A PERFORMANCE
AS OF 6/30/96 SINCE INCEPTION
AVERAGE ANNUAL 1-YEAR 3-YEAR 5-YEAR (10/6/88)
<S> <C> <C> <C> <C>
................................................................................................
Total Returns w/Load 1.84% 3.21% 6.62% 7.45%
Total Returns w/o Load 6.60% 4.81% 7.61% 8.09%
</TABLE>
<TABLE>
<CAPTION>
CLASS D PERFORMANCE
AS OF 6/30/96
AVERAGE ANNUAL 1-YEAR W/CDSC 1-YEAR W/O CDSC SINCE INCEPTION (7/1/93)
<S> <C> <C> <C>
................................................................................................
Total Returns 4.87% 5.84% 3.97%
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS FOR THE INDICATED PERIODS ASSUME SHARES WERE
PURCHASED AT THE OFFERING PRICE, WHICH INCLUDES WHERE INDICATED, THE MAXIMUM
4.5% INITIAL SALES CHARGE FOR CLASS A SHARES, AND FOR CLASS D SHARES, THE 1%
CONTINGENT DEFERRED SALES CHARGE ("CDSC"). THIS REPRESENTS THE AVERAGE ANNUAL
INCREASE IN VALUE OF THE INVESTMENT OVER THE INDICATED PERIODS, ASSUMING
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS DISTRIBUTIONS AT NET ASSET VALUE.
YOUR INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE WITH MARKET
CONDITIONS, SO THAT YOUR SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN
THEIR ORIGINAL COST. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
CLASS A SHARES HAVE BEEN OFFERED SINCE OCTOBER 6, 1988, AND CLASS D SHARES HAVE
BEEN OFFERED SINCE JULY 1, 1993. THE AVERAGE ANNUAL TOTAL RETURN FOR 1-YEAR WITH
CDSC REFLECTS THE CONTINGENT DEFERRED SALES CHARGE IMPOSED ON REDEMPTIONS WITHIN
THE FIRST YEAR OF PURCHASING SHARES.
DURING THE PERIOD, WELLS FARGO BANK HAS VOLUNTARILY WAIVED PORTIONS OF ITS FEES
OR ASSUMED RESPONSIBILITY FOR OTHER EXPENSES, WHICH HAS REDUCED OPERATING
EXPENSES FOR SHAREHOLDERS. WITHOUT THESE REDUCTIONS, THE FUND'S RETURNS WOULD
HAVE BEEN LOWER. THE FEE WAIVER MAY BE DISCONTINUE AT ANY TIME.
7
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OVERLAND EXPRESS CALIFORNIA TAX-FREE MONEY MARKET FUND
Q. HOW DID THE OVERLAND EXPRESS CALIFORNIA TAX-FREE MONEY MARKET FUND PERFORM
DURING 1996?
A. The Fund's simple yield for the seven day period as of June 30, 1996 was
2.68%. The Fund achieved its objective of seeking a high level of tax-free
income, capital preservation and liquidity.
Q. WHAT FACTORS IN THE SHORT-TERM TAX-EXEMPT BOND MARKET INFLUENCED MUNICIPAL
BOND FUND PERFORMANCE?
A. The short-term tax-exempt market followed traditional seasonal patterns
during the first half of 1996. In April, tax-exempt money market funds
experienced large outflows around April 15 as individual investors withdrew
liquid assets to pay taxes. Beginning in June, the market became concerned about
the expected heavy cash inflows from large bond calls and redemptions occurring
on July 1, 1996. This bond call and redemption activity created an inflow of
cash into the marketplace and led to a demand for bonds thus causing yields to
decrease.
Q. WHAT STRATEGY WILL YOU TAKE FOR THE BALANCE OF 1996?
A. The Fund extended its average portfolio maturity from 44 days to 53 days
during the first two quarters of the year. Tax-free money market funds
traditionally extend their average days to maturity in June and July due to the
seasonal nature of the short-term tax-exempt market. Given current conditions,
the Fund will target an average maturity of 50 to 60 days for the remainder of
the year. We will also continue to maintain high credit quality as a primary
objective of the Fund.
ALTHOUGH THE FUND SEEKS TO MAINTAIN A $1.00 PER SHARE NET ASSET VALUE, THERE IS
NO ASSURANCE THAT IT WILL MEET THIS OBJECTIVE. AN INVESTMENT IN THE FUND IS
NEITHER INSURED NOR GUARANTEED BY THE U.S. GOVERNMENT OR ANY GOVERNMENT AGENCY,
NOR BY WELLS FARGO BANK.
ANNUALIZED YIELD IS FOR THE 7-DAY PERIOD ENDED JUNE 30, 1996. YIELD REFLECTS
FLUCTUATIONS IN INTEREST RATES ON PORTFOLIO INVESTMENTS AND FUND EXPENSES. PAST
PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.
8
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OVERLAND EXPRESS MONEY MARKET FUND
Q. HOW DID THE OVERLAND EXPRESS MONEY MARKET FUND -- CLASS A PERFORM DURING THE
FIRST HALF OF 1996?
A. The Fund's seven day simple yield for the period ended June 30, 1996 was
4.78%. The Fund achieved its goal of maintaining principal stability at a $1.00
per share net asset value while providing competitive money market yields.
Q. HOW HAS 1996'S ECONOMIC ENVIRONMENT INFLUENCED THE PERFORMANCE OF MONEY
MARKET FUNDS IN GENERAL?
A. Led by strong housing and auto sales, a strong economy led the Fed to
consider tightening monetary policy and increasing the federal funds target
rate. As credit markets began to anticipate this move, interest rates continued
their ascent to higher yields. Generally as the Fed tightens monetary policy,
money market yields increase. The yield on three-month Treasury bills rose from
a second quarter low of 4.95% in early April to a high of 5.27% late in the
quarter. We believe that there is a strong likelihood that the Fed will increase
the federal funds target rate before the conclusion of the August 20, 1996 FOMC
meeting.
Q. WITHIN 1996'S ECONOMIC ENVIRONMENT, WERE ANY CHANGES MADE TO THE PORTFOLIO?
A. As tighter monetary policy appeared increasingly imminent and short-term
yields rose, the weighted average days to maturity of the Fund was shortened
from 60 days at the beginning of the second quarter to approximately 49 days by
the end of the quarter. The weighted average days to maturity will remain
between 45 to 55 days under current market conditions.
Q. WHAT IS YOUR STRATEGY FOR THE REMAINDER OF 1996?
A. For the remainder of the year, under current market conditions, we will
continue to seek to provide investors with a high level of current income, while
preserving capital, by investing in high quality short-term securities. We will
continue our strategy of purchasing one- to three-month commercial paper and we
will increase our continued emphasis on common floating rate notes.
ALTHOUGH THE FUND SEEKS TO MAINTAIN A $1.00 PER SHARE NET ASSET VALUE, THERE IS
NO ASSURANCE THAT IT WILL MEET THIS OBJECTIVE. AN INVESTMENT IN THE FUND IS
NEITHER INSURED NOR GUARANTEED BY THE U.S. GOVERNMENT OR ANY GOVERNMENT AGENCY,
NOR BY WELLS FARGO BANK.
ANNUALIZED YIELD IS FOR THE 7-DAY PERIOD ENDED JUNE 30, 1996. YIELD REFLECTS
FLUCTUATIONS IN INTEREST RATES ON PORTFOLIO INVESTMENTS AND FUND EXPENSES. PAST
PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.
9
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OVERLAND EXPRESS MUNICIPAL INCOME FUND
LAURA MILNER, TAX-EXEMPT SPECIALIST/MONEY MARKET PORTFOLIO MANAGER. MS. MILNER
JOINED WELLS FARGO BANK IN 1988. HER BACKGROUND INCLUDES OVER SEVEN YEARS'
EXPERIENCE SPECIALIZING IN SHORT- AND LONG-TERM MUNICIPAL SECURITIES WITH
SALOMON BROTHERS. SHE IS A MEMBER OF THE NATIONAL FEDERATION OF MUNICIPAL
ANALYSTS AND ITS CALIFORNIA CHAPTER.
Q. HOW DID THE OVERLAND EXPRESS MUNICIPAL INCOME FUND PERFORM DURING THE FIRST
HALF OF 1996?
A. During 1996's rising interest-rate environment, prices of longer-term bonds
fell at a faster rate than shorter-term bonds. The Fund underperformed its
benchmark, the Lehman Brothers Municipal Bond Index, primarily because the
maturity of the securities contained in the portfolio were slightly longer than
those of the benchmark.
The Fund attempts to provide investors with a diversified portfolio of AAA-rated
tax-exempt securities. The Fund is managed in a manner that seeks to provide a
competitive level of current income by concentrating holdings in assets that are
subject to the alternative minimum tax ("AMT"). This combination of holdings in
assets subject to the AMT and holdings that are AAA - rated by Standard and
Poor's provides shareholders with a competitive return while minimizing credit
risk.
Q. THE FUND EMPHASIZES SECURITIES THAT ARE SUBJECT TO THE AMT. WHAT ARE THE
ADVANTAGES OF INVESTING IN THESE TYPES OF SECURITIES?
A. The Fund purchases bonds subject to the AMT because they have generally
offered higher yields than non-AMT bonds. Investing in securities subject to the
AMT can provide higher yields without compromising credit quality. The yield
advantage of a bond subject to the AMT is approximately 0.10%-0.25% over a
non-AMT bond.
Q. DIVERSIFICATION IS IMPORTANT WHEN MANAGING CREDIT RISK. HOW MUCH
DIVERSIFICATION IS THERE AMONG SECURITIES IN THE FUND? ARE THERE ANY OTHER
FACTORS TAKEN INTO CONSIDERATION WHEN MANAGING CREDIT RISK?
A. The Fund holds no more than 25% of its assets in securities issued by any one
state and in general does not invest more than 5% of its assets in any one
issuer. We will continue to pursue this strategy of diversification, both
nationally and geographically. This should help protect the Fund's share price
from fluctuations tied to any one region's economy. The Fund is rated AAAf by
Standard and Poors. All of the Fund's holdings are considered AAA -rated as a
result of municipal bond insurance or agency guarantees provided by the
Government National Mortgage Association and the Federal Housing Administration.
Q. 1996 HAS HAD A RISING INTEREST-RATE ENVIRONMENT. HOW HAS THIS AFFECTED THE
MUNICIPAL BOND MARKET IN GENERAL? WHAT TYPES OF CHANGES WILL BE MADE TO THE
PORTFOLIO SHOULD THIS ENVIRONMENT CONTINUE?
A. In general, rising interest rates have caused the prices of longer-term bonds
to fall faster than those of shorter-term bonds. For the first half of the year,
the Fund's holdings were primarily longer-term bonds and this had a negative
impact on performance. Should this environment continue, we will purchase bonds
with shorter maturities in the 10-20 year part of the yield curve.
10
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OVERLAND EXPRESS MUNICIPAL INCOME FUND
Q. WHAT STRATEGY WILL BE TAKEN FOR THE REMAINDER OF THE YEAR?
A. The Fund intends to sell a portion of its longer-term housing bonds and
purchase non-housing bonds in the 10-20 year part of the yield curve. This
should shorten the Fund's duration and can be accomplished with minimal yield
loss. We will continue to pursue a strategy of diversification by issuer and
location which should help to protect the Fund's share price from fluctuations
tied to any one region's economy. We will also continue to emphasize securities
subject to the AMT.
THE LEHMAN BROTHERS MUNICIPAL BOND INDEX IS AN UNMANAGED INDEX THAT INCLUDES
APPROXIMATELY 15,000 BONDS. INVESTORS SHOULD NOTE THAT THE FUND IS A
PROFESSIONALLY MANAGED MUTUAL FUND, WHILE THE INDEX IS UNMANAGED, DOES NOT INCUR
EXPENSES AND IS NOT AVAILABLE DIRECTLY FOR INVESTMENT.
................................................................................
<TABLE>
<CAPTION>
CLASS A PERFORMANCE SINCE INCEPTION
AS OF 6/30/96 AVERAGE ANNUAL 1-YEAR 3-YEAR (7/15/91)
<S> <C> <C> <C>
...................................................................................................
Total Returns w/Load 3.43% 3.09% 6.64%
Total Returns w/o Load 6.60% 4.13% 7.30%
<CAPTION>
CLASS D PERFORMANCE SINCE INCEPTION
AS OF 6/30/96 AVERAGE ANNUAL 1-YEAR W/CDSC 1-YEAR W/O CDSC (7/1/93)
<S> <C> <C> <C>
...................................................................................................
Total Returns 4.98% 5.97% 3.44%
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS FOR THE INDICATED PERIODS ASSUME SHARES WERE
PURCHASED AT THE OFFERING PRICE, WHICH INCLUDES WHERE INDICATED, THE MAXIMUM 3%
INITIAL SALES CHARGE FOR CLASS A SHARES, AND FOR CLASS D SHARES, THE 1%
CONTINGENT DEFERRED SALES CHARGE ("CDSC"). THIS REPRESENTS THE AVERAGE ANNUAL
INCREASE IN VALUE OF THE INVESTMENT OVER THE INDICATED PERIODS, ASSUMING
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS DISTRIBUTIONS AT NET ASSET VALUE.
YOUR INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE WITH MARKET
CONDITIONS, SO THAT YOUR SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN
THEIR ORIGINAL COST. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
CLASS A SHARES HAVE BEEN OFFERED SINCE JULY 15, 1991, AND CLASS D SHARES HAVE
BEEN OFFERED SINCE JULY 1, 1993. THE AVERAGE ANNUAL TOTAL RETURN FOR 1-YEAR WITH
CDSC REFLECTS THE CONTINGENT DEFERRED SALES CHARGE IMPOSED ON REDEMPTIONS WITHIN
THE FIRST YEAR OF PURCHASING SHARES.
DURING THE PERIOD, WELLS FARGO BANK HAS VOLUNTARILY WAIVED PORTIONS OF ITS FEES
OR ASSUMED RESPONSIBILITY FOR OTHER EXPENSES, WHICH HAS REDUCED OPERATING
EXPENSES FOR SHAREHOLDERS. WITHOUT THESE REDUCTIONS, THE FUND'S RETURNS WOULD
HAVE BEEN LOWER. THE FEE WAIVER MAY BE DISCONTINUED AT ANY TIME.
11
<PAGE>
OVERLAND EXPRESS SHORT-TERM GOVERNMENT-CORPORATE INCOME FUND
(SHORT-TERM GOVERNMENT-CORPORATE INCOME
MASTER PORTFOLIO)
JEFF L. WEAVER, TAXABLE LIQUIDITY MANAGEMENT/CO-PORTFOLIO MANAGER. MR. WEAVER
JOINED WELLS FARGO AFTER THREE YEARS AS A SHORT-TERM FIXED INCOME TRADER AND
PORTFOLIO MANAGER IN THE INVESTMENT MANAGEMENT GROUP OF BANKERS TRUST COMPANY IN
NEW YORK. HE HOLDS A B.A. IN ECONOMICS FROM THE UNIVERSITY OF COLORADO AND IS A
CHARTERED FINANCIAL ANALYST CANDIDATE.
Q. WHAT INVESTMENT STRATEGY DOES THE OVERLAND EXPRESS SHORT-TERM GOVERNMENT-
CORPORATE INCOME FUND TAKE?
A. The Fund seeks to earn a high level of current income, while managing
principal volatility, by investing substantially all of its assets in
high-quality U.S. government and corporate bonds. The Fund's investment strategy
and security selection employs the business cycle analysis which involves
research of recurring events and trends in the economy. We look at criteria such
as yield curve positioning and sector allocation in determining the composition
of the portfolio.
Q. WHAT IS THE CURRENT PORTFOLIO ALLOCATION OF THE FUND? WHY?
A. Currently the Fund holds 96.3% of its portfolio invested in U.S. Treasury
notes and the remaining balance in cash instruments. Until the Fund achieves a
certain asset size (approximately $10 million), the investment adviser intends
to invest substantially all of the Fund's assets in U.S. Treasury bonds, notes,
bills and repurchase agreements.
Q. SHOULD INTEREST RATES CONTINUE TO RISE, HOW WILL THE FUND'S STRATEGY CHANGE
IN THE MONTHS TO COME?
A. The Fund will take advantage of the steepening yield curve by investing a
portion of its assets in securities in the 18-month portion of the yield curve.
The Fund's duration will remain close to that of its one-year benchmark, the
Merrill Lynch 1 -Year Treasury Bill Index. As the Fund grows in size, we intend
to increase our emphasis on high-quality instruments issued by corporations.
THE SHORT-TERM GOVERNMENT-CORPORATE INCOME FUND (THE "FEEDER") AND THE
SHORT-TERM GOVERNMENT-CORPORATE INCOME MASTER PORTFOLIO (THE "MASTER") ARE
ORGANIZED AS A "MASTER-FEEDER" STRUCTURE. INSTEAD OF INVESTING DIRECTLY IN
INDIVIDUAL PORTFOLIO SECURITIES, THE FEEDER FUND, WHICH IS OFFERED TO THE
PUBLIC, HOLDS INTEREST IN THE MASTER FUND WHICH INVESTS IN INDIVIDUAL
SECURITIES. REFERENCES TO THE FUND ARE TO THE FEEDER OR MASTER, AS THE CONTEXT
REQUIRES. THE MASTER PORTFOLIO IS ADVISED BY WELLS FARGO BANK. INVESTORS SHOULD
NOTE THAT THE FUND IS A PROFESSIONALLY MANAGED MUTUAL FUND, WHILE THE MERRILL
LYNCH 1-YEAR TREASURY BILL INDEX IS AN UNMANAGED INDEX AND DOES NOT INCUR
EXPENSES.
AN INVESTMENT IN THE FUND IS NEITHER INSURED NOR GUARANTEED BY THE U.S.
GOVERNMENT OR ANY GOVERNMENT AGENCY, NOR BY WELLS FARGO BANK.
12
<PAGE>
OVERLAND EXPRESS SHORT-TERM GOVERNMENT-CORPORATE INCOME FUND
(SHORT-TERM GOVERNMENT-CORPORATE INCOME
MASTER PORTFOLIO)
................................................................................
<TABLE>
<CAPTION>
PERFORMANCE AS OF 6/30/96
AVERAGE ANNUAL ONE-YEAR SINCE INCEPTION (9/19/94)
<S> <C> <C>
...................................................................................................
Total Returns w/Load 2.01% 3.88%
Total Returns w/o Load 5.06% 5.61%
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS FOR THE INDICATED PERIODS ASSUME SHARES WERE
PURCHASED AT THE OFFERING PRICE, WHICH INCLUDES WHERE INDICATED, THE MAXIMUM 3%
INITIAL SALES CHARGE, AND REPRESENTS THE AVERAGE ANNUAL INCREASE IN VALUE OF THE
INVESTMENT OVER THE INDICATED PERIODS, ASSUMING REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS DISTRIBUTIONS AT NET ASSET VALUE. YOUR INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE WITH MARKET CONDITIONS, SO THAT YOUR SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. PAST PERFORMANCE
IS NOT PREDICTIVE OF FUTURE PERFORMANCE. THE FUND'S INCEPTION WAS SEPTEMBER 19,
1994.
DURING THE PERIOD, WELLS FARGO BANK HAS VOLUNTARILY WAIVED PORTIONS OF ITS FEES
OR ASSUMED RESPONSIBILITY FOR OTHER EXPENSES, WHICH HAS REDUCED OPERATING
EXPENSES FOR SHAREHOLDERS. WITHOUT THESE REDUCTIONS, THE FUND'S RETURNS WOULD
HAVE BEEN LOWER. THE FEE WAIVER MAY BE DISCONTINUED AT ANY TIME.
13
<PAGE>
OVERLAND EXPRESS SHORT-TERM MUNICIPAL INCOME FUND
(SHORT-TERM MUNICIPAL INCOME MASTER PORTFOLIO)
DAVID KLUG, SENIOR TAX-EXEMPT SPECIALIST/CO-PORTFOLIO MANAGER. MR. KLUG HAS
MANAGED MUNICIPAL BOND PORTFOLIOS FOR WELLS FARGO BANK FOR OVER TEN YEARS. PRIOR
TO JOINING WELLS FARGO BANK, HE MANAGED THE MUNICIPAL BOND PORTFOLIO FOR A MAJOR
PROPERTY AND CASUALTY INSURANCE COMPANY. HIS INVESTMENT EXPERIENCE EXCEEDS 20
YEARS AND INCLUDES ALL ASPECTS OF TAX-EXEMPT FIXED-INCOME INVESTMENTS. HE HOLDS
AN M.B.A. FROM THE UNIVERSITY OF CHICAGO AND IS A MEMBER OF THE NATIONAL
FEDERATION OF MUNICIPAL ANALYSTS AND ITS CALIFORNIA CHAPTER. HE HAS CO-MANAGED
THE FUND SINCE ITS INCEPTION.
LAURA L. MILNER, TAX-EXEMPT SPECIALIST/CO-PORTFOLIO MANAGER. MS. MILNER JOINED
WELLS FARGO BANK IN 1988. HER BACKGROUND INCLUDES OVER SEVEN YEARS' EXPERIENCE
SPECIALIZING IN SHORT- AND LONG-TERM MUNICIPAL SECURITIES WITH SALOMON BROTHERS.
SHE IS A MEMBER OF THE NATIONAL FEDERATION OF MUNICIPAL ANALYSTS AND ITS
CALIFORNIA CHAPTER. MS. MILNER HAS BEEN CO-MANAGING THE FUND SINCE ITS
INCEPTION.
Q. HOW DID THE OVERLAND EXPRESS SHORT-TERM MUNICIPAL INCOME FUND PERFORM DURING
THE FIRST SIX MONTHS OF 1996?
A. The Fund had a total return of 1.40% without load for the period ended June
30, 1996. The Fund's return resulted from 1996's rising interest-rate
environment as the municipal bond market reversed course and securities with
longer maturities outperformed those with shorter maturities.
Q. WERE THERE ANY SIGNIFICANT CHANGES TO THE PORTFOLIO THAT AFFECTED THE FUND'S
PERFORMANCE?
A. The Fund's average maturity was shortened from 1.82 years to 1.66 years as
our expectations that the Fed would ease interest rates diminished. The Fund
also took advantage of the short-term interest-rate hike in February by
maintaining a larger than usual cash balance.
Q. WHAT FACTORS HAVE INFLUENCED THE FUND'S STRATEGY OVER THE LAST SIX MONTHS?
A. At the end of 1995, the economy appeared to be slowing down and it was
anticipated that the next move by the Fed would be an easing of interest rates.
In 1996, however, many statistics suggested that the economy would be fairly
strong despite low inflation. In light of the reduced possibility that the Fed
would lower interest rates to stimulate the economy, we changed our strategy
slightly and shortened the Fund's average maturity from 1.82 to 1.66 years.
Q. WHAT CRITERIA ARE USED WHEN PURCHASING SECURITIES FOR THE FUND?
A. Credit quality is the primary concern when purchasing securities for the
Fund. Yield curve analysis is also considered. We look at major trends in the
economy and we determine positions on the yield curve that appear to have the
best aging characteristics.
Q. THE FUND HOLDS A CERTAIN AMOUNT OF SECURITIES SUBJECT TO THE AMT. WHAT ARE
THE ADVANTAGES OF HOLDING THESE TYPES OF SECURITIES?
A. The advantage of investing in securities subject to the AMT is that such
securities tend to offer a higher yield without compromising credit quality. The
Fund seeks to provide income that is federally tax-free for those who are not
subject to the AMT. Currently 90% of all taxpayers are not subject to the AMT.
Bonds subject to the AMT are issues where more than 10% of the proceeds benefit
14
<PAGE>
OVERLAND EXPRESS SHORT-TERM MUNICIPAL INCOME FUND
(SHORT-TERM MUNICIPAL INCOME MASTER PORTFOLIO)
individuals or private entities. Interest from these bonds is included as a
"preference" item for individuals who calculate their taxes using the AMT
method. Because there are generally fewer buyers of AMT bonds, such bonds
generally yield more than their non-AMT counterparts.
Q. WHAT IS YOUR OUTLOOK FOR THE MUNICIPAL BOND MARKET IN GENERAL?
A. Some positive factors are occurring in the municipal bond market. Municipal
bonds have significantly outperformed Treasuries year-to-date. In periods of
high market volatility, such as we are currently experiencing, municipal bonds
also tend to perform better than their taxable counterparts. Another positive
factor involves redemptions of bonds which are coming due this year. 1996 will
be a big year for redemptions of older, outstanding bonds thus resulting in an
increase in cash and a demand for municipal bonds in the marketplace.
Q. WHAT IS YOUR STRATEGY FOR THE REMAINDER OF 1996?
A. We will continue to emphasize liquidity and high credit quality for the
remainder of the year. Should the current environment continue, we intend to
maintain the Fund's average maturity between 1.4 and 1.7 years, reduce the
Fund's cash position and invest in securities that fall in the 18 month to 30
month range of the yield curve.
THE SHORT-TERM MUNICIPAL INCOME FUND (THE "FEEDER") AND THE SHORT-TERM MUNICIPAL
INCOME MASTER PORTFOLIO (THE "MASTER") ARE ORGANIZED AS A "MASTER-FEEDER"
STRUCTURE. INSTEAD OF INVESTING DIRECTLY IN INDIVIDUAL PORTFOLIO SECURITIES, THE
FEEDER FUND, WHICH IS OFFERED TO THE PUBLIC, HOLDS INTEREST IN THE MASTER WHICH
INVESTS IN INDIVIDUAL SECURITIES. REFERENCES TO THE FUND ARE TO THE FEEDER OR
MASTER, AS THE CONTEXT REQUIRES. THE MASTER PORTFOLIO IS ADVISED BY WELLS FARGO
BANK.
................................................................................
<TABLE>
<CAPTION>
PERFORMANCE AS OF 6/30/96
AVERAGE ANNUAL ONE-YEAR SINCE INCEPTION (6/3/94)
<S> <C> <C>
....................................................................................................
Total Returns w/Load 0.66% 2.18%
Total Returns w/o Load 3.68% 3.64%
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS FOR THE INDICATED PERIODS ASSUME SHARES WERE
PURCHASED AT THE OFFERING PRICE, WHICH INCLUDES WHERE INDICATED, THE MAXIMUM 3%
INITIAL SALES CHARGE, AND REPRESENTS THE AVERAGE ANNUAL INCREASE IN VALUE OF THE
INVESTMENT OVER THE INDICATED PERIODS, ASSUMING REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS DISTRIBUTIONS AT NET ASSET VALUE. YOUR INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE WITH MARKET CONDITIONS, SO THAT YOUR SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. PAST PERFORMANCE
IS NOT PREDICTIVE OF FUTURE PERFORMANCE. THE FUND'S INCEPTION WAS JUNE 3, 1994.
DURING THE PERIOD, WELLS FARGO BANK HAS VOLUNTARILY WAIVED PORTIONS OF ITS FEES
OR ASSUMED RESPONSIBILITY FOR OTHER EXPENSES, WHICH HAS REDUCED OPERATING
EXPENSES FOR SHAREHOLDERS. WITHOUT THESE REDUCTIONS, THE FUND'S RETURNS WOULD
HAVE BEEN LOWER. THE FEE WAIVER MAY BE DISCONTINUED AT ANY TIME.
15
<PAGE>
OVERLAND EXPRESS STRATEGIC GROWTH FUND
(CAPITAL APPRECIATION MASTER PORTFOLIO)
JON HICKMAN, CO-PORTFOLIO MANAGER. MR. HICKMAN HAS WORKED FOR WELLS FARGO BANK
SINCE 1986. HE HAS APPROXIMATELY 15 YEARS OF EXPERIENCE IN THE INVESTMENT
MANAGEMENT FIELD AND IS A MEMBER OF WELLS FARGO BANK'S EQUITY STRATEGY
COMMITTEE. MR. HICKMAN HAS A B.A. AND AN M.B.A. IN FINANCE FROM BRIGHAM YOUNG
UNIVERSITY AND HAS CO-MANAGED THE FUND SINCE ITS INCEPTION.
ROBERT BISSELL, CO-PORTFOLIO MANAGER. MR. ROBERT BISSELL IS ALSO RESPONSIBLE FOR
THE DAY-TO-DAY MANAGEMENT OF THE STRATEGIC GROWTH FUND AND HAS PERFORMED SUCH
DUTIES SINCE THE FUND'S INCEPTION. MR. BISSELL JOINED WELLS FARGO BANK AT THE
TIME OF THE MERGER WITH CROCKER BANK AND HAS BEEN WITH THE COMBINED ORGANIZATION
FOR OVER 20 YEARS. PRIOR TO JOINING WELLS FARGO BANK, HE WAS A VICE PRESIDENT
AND INVESTMENT COUNSELOR WITH M.H. EDIE INVESTMENT COUNSELING, WHERE HE MANAGED
INSTITUTIONAL AND HIGH-NET-WORTH PORTFOLIOS. MR. BISSELL HOLDS A FINANCE DEGREE
FROM THE UNIVERSITY OF VIRGINIA. HE IS A CHARTERED FINANCIAL ANALYST AND A
MEMBER OF THE LOS ANGELES SOCIETY OF FINANCIAL ANALYSTS. HE HAS CO-MANAGED THE
FUND SINCE ITS INCEPTION.
Q. HOW DID THE STRATEGIC GROWTH FUND PERFORM DURING THE FIRST SIX MONTHS OF THE
YEAR AND WHAT FACTORS CONTRIBUTED TO ITS PERFORMANCE?
A. During the first six months of 1996, the Fund continued to outperform both
the S&P 500 Index and the Russell 2000 Index. Our continued focus on earnings
growth and emphasis on companies with strong management teams were two key
factors contributing to this strong performance. On a broader scale, positive
earnings results reported by a majority of the companies in the portfolio,
particularly those in the technology, health care and energy sectors, fueled
stock price appreciation. The Fund focused on market leaders in these sectors
and generated above-average performance. Five of the Fund's top six holdings
gained over 15%, with Intel warrants and Cicso Systems leading the pack, each
posting approximately a 50% return. Among the top holdings were Oracle
Corporation with a 39.60% return, HealthSouth Corporation posting 23.60%,
Genesis Health Ventures posting a 24.57% and Komag Inc., posting a return of
15%.
Another factor affecting the Fund involves a trend occurring in the financial
markets. The continued inflow of money into equity mutual funds during the first
half of 1996 spurred high demand for equity stocks, especially those of emerging
growth companies. This demand had a positive impact on the market and on the
Fund's portfolio.
Q. WHAT STRATEGY DO YOU APPLY IN STOCK SELECTION FOR THE FUND?
A. Our investment strategy is based on the belief that earnings growth drives
stock prices. We invest in companies with the potential for well above-average
earnings growth. There are also a number of other factors we consider as part of
our long-term strategy. One key criterion for buying a stock is management.
Management is measured by experience, depth and ownership of the company's
stock. A company will not become a core holding in the portfolio until we have
met with management. In addition to management, we look for companies with a
dominant market share, technological leadership, a strong balance sheet and some
competitive advantage over other companies in their industry.
16
<PAGE>
OVERLAND EXPRESS STRATEGIC GROWTH FUND
(CAPITAL APPRECIATION MASTER PORTFOLIO)
Q. THE FEDERAL FUNDS TARGET RATE HAS BEEN HELD STEADY DESPITE THE CONTINUED
UNCERTAINTY OF AN INCREASE IN INTEREST RATES. HOW HAS THIS UNCERTAINTY
AFFECTED THE FUND?
A. At the end of the second quarter, in the face of rising interest rates as
well as economic uncertainty, money managers have started to sell stocks back
into the market place. This recent activity depressed prices and presented the
Fund with an opportunity to buy stocks with superior earnings growth at very
reasonable prices. We continue to expect a slowing economy and low inflation. We
expect good earnings growth in select companies to eventually calm the near-term
concerns and uncertainty that many investors and money managers are feeling.
Q. WHAT SECTORS DID THE FUND EMPHASIZE IN THE FIRST HALF OF THE YEAR?
A. The Fund emphasized the telecommunication and energy sectors. Within the
telecommunications sector, digital transmission has become the communication
medium of choice with new technology being developed continuously. This trend
has opened many new opportunities for digital equipment and telecommunication
service providers. An example of a position the Fund currently holds is LCI
International, one of the nation's largest long-distance carriers. We will
continue to look at companies like LCI which provide worldwide voice and data
transmission services through fiberoptic networks.
The energy sector showed strength during the first half of the year with the
price of oil and gas exceeding analyst expectations. The Fund paid particular
attention to the oil servicing industry, adding positions in companies that
develop and market oil related services such as drilling and refining. Two
companies that were added to the portfolio were Kelly Oil and Gas and Sonat
Offshore Drilling Incorporated.
Q. WHAT SECTORS WILL THE FUND LOOK AT IN THE UPCOMING MONTHS AND WHY?
A. Our strategy is to buy companies that have an earnings growth rate exceeding
15% and are selling at a price/earnings ratio ("P/E") less than the growth rate.
Although our investment choices are not specifically sector driven, we do
continue to find great investment opportunities in the technology and
bio-technology sectors, especially given the recent decline in prices in the
market.
The Fund will continue to look at the information storage industry . With the
continued growth in electronic media and digital storage, demand for disk drive
components and information storage equipment is high and is expected to grow as
much as 30% this year. As this demand for an increased capability to store
information continues, the Fund will maintain its focus on companies within this
sector.
The biotechnology sector also shows strength. Revolutionary drugs are being
developed and a demand for ways to administer these drugs comfortably to
patients is increasing. We will look at companies which develop and attempt to
perfect drug delivery systems. Two that were recently added to the portfolio are
Anesta Corporation and Matrix Pharmaceuticals. Both companies develop products
that assist in administering medication easily and effectively to patients.
17
<PAGE>
OVERLAND EXPRESS STRATEGIC GROWTH FUND
(CAPITAL APPRECIATION MASTER PORTFOLIO)
Q. THERE HAS BEEN MUCH SAID IN THE MEDIA ABOUT THE POPULARITY OF INITIAL PUBLIC
OFFERINGS (IPOs). What position does the Fund take with IPOs?
A. The Fund may participate in a particular IPO when the issue meets the overall
investment criteria. The Fund provides cost-effective access for the individual
investor to participate in the IPO market. With an established presence on Wall
Street, the Fund's adviser, Wells Fargo Bank, is able to secure shares of
otherwise hard to obtain IPOs.
Q. WHAT IS THE FUND'S STRATEGY FOR THE REMAINDER OF THE YEAR?
A. In the upcoming months, given the current market conditions, the Fund's
exposure to both the health care sector and technology sector will be
maintained. The Fund will continue to seek stocks with superior earnings growth
selling at reasonable valuation levels. We will also continue to invest broadly
across different sectors in order to achieve diversification in an attempt to
moderate investment risk.
S&P 500 INDEX IS AN UNMANAGED INDEX THAT TRACKS THE PERFORMANCE OF 500
INDUSTRIAL, TRANSPORTATION, UTILITY AND FINANCIAL COMPANIES.
THE RUSSEL 2000 INDEX IS AN INDEX SUBSET OF THE RUSSEL 3000 INDEX AND INCLUDES
2,000 OF THE SMALLEST STOCKS REPRESENTING APPROXIMATELY 11% OF THE U.S. EQUITY
MARKET.
THE STRATEGIC GROWTH FUND IS ORGANIZED AS A "MASTER-FEEDER" STRUCTURE. INSTEAD
OF INVESTING DIRECTLY IN INDIVIDUAL PORTFOLIO SECURITIES, THE FEEDER FUND, WHICH
IS OFFERED TO THE PUBLIC, HOLDS INTEREST IN THE CAPITAL APPRECIATION MASTER
PORTFOLIO (THE "MASTER PORTFOLIO") WHICH IN TURN, INVESTS IN INDIVIDUAL
SECURITIES. THE MASTER PORTFOLIO WAS CREATED BY CONVERTING THE EXISTING
STRATEGIC GROWTH FUND TO THE MASTER PORTFOLIO. REFERENCES TO THE FUND ARE TO THE
FEEDER OR MASTER, AS THE CONTEXT REQUIRES. THE CONVERSION TO THE MASTER
PORTFOLIO OCCURRED ON 2/20/96. THE MASTER PORTFOLIO IS ADVISED BY WELLS FARGO
BANK.
................................................................................
<TABLE>
<CAPTION>
CLASS A PERFORMANCE SINCE INCEPTION
AS OF 6/30/96 AVERAGE ANNUAL 1-YEAR 3-YEAR (1/20/93)
<S> <C> <C> <C>
...................................................................................................
Total Returns w/Load 23.32% 23.73% 26.47%
Total Returns w/o Load 29.10% 25.65% 28.17%
<CAPTION>
CLASS D PERFORMANCE SINCE INCEPTION
AS OF 6/30/96 AVERAGE ANNUAL 1-YEAR W/CDSC 1-YEAR W/O CDSC (7/1/93)
<S> <C> <C> <C>
...................................................................................................
Total Returns 27.20% 28.20% 24.52%
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS FOR THE INDICATED PERIODS ASSUME SHARES WERE
PURCHASED AT THE OFFERING PRICE, WHICH INCLUDES WHERE INDICATED, THE MAXIMUM
4.5% INITIAL SALES CHARGE, AND FOR CLASS D SHARES, THE 1% CONTINGENT DEFERRED
SALES CHARGE ("CDSC"). THIS REPRESENTS THE AVERAGE ANNUAL INCREASE IN VALUE OF
THE INVESTMENT OVER THE INDICATED PERIODS, ASSUMING REINVESTMENT OF DIVIDENDS
AND CAPITAL GAINS DISTRIBUTIONS AT NET ASSET VALUE. YOUR INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE WITH MARKET CONDITIONS, SO THAT YOUR SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. PAST PERFORMANCE
IS NOT PREDICTIVE OF FUTURE PERFORMANCE. CLASS A SHARES HAVE BEEN OFFERED SINCE
JANUARY 20, 1993, AND CLASS D SHARES HAVE BEEN OFFERED SINCE JULY 1, 1993. THE
AVERAGE ANNUAL TOTAL RETURN FOR 1-YEAR WITH CDSC REFLECTS THE CONTINGENT
DEFERRED SALES CHARGE IMPOSED ON REDEMPTIONS WITHIN THE FIRST YEAR OF PURCHASING
SHARES.
DURING THIS PERIOD, WELLS FARGO BANK HAS VOLUNTARILY WAIVED PORTIONS OF ITS FEES
OR ASSUMED RESPONSIBILITY FOR OTHER EXPENSES, WHICH HAS REDUCED OPERATING
EXPENSES FOR SHAREHOLDERS. WITHOUT THESE REDUCTIONS THE FUND'S RETURNS WOULD
HAVE BEEN LOWER.
18
<PAGE>
OVERLAND EXPRESS U.S. GOVERNMENT INCOME FUND
PAUL SINGLE, SENIOR TAXABLE SPECIALIST/CO-PORTFOLIO MANAGER. MR. SINGLE HAS
MANAGED TAXABLE BOND PORTFOLIOS FOR OVER A DECADE WITH SPECIFIC EXPERTISE IN
MORTGAGE-BACKED SECURITIES ("MBS"). PRIOR TO JOINING WELLS FARGO BANK IN EARLY
1988, HE WAS A SENIOR PORTFOLIO MANAGER FOR BENHAM CAPITAL MANAGEMENT GROUP. MR.
SINGLE RECEIVED HIS B.S. FROM SPRINGFIELD COLLEGE. HE HAS CO-MANAGED THE FUND
SINCE ITS INCEPTION.
SCOTT SMITH, CO-PORTFOLIO MANAGER. MR. SMITH JOINED WELLS FARGO BANK IN 1988 AS
A TAXABLE MONEY MARKET PORTFOLIO SPECIALIST. HIS EXPERIENCE INCLUDES A POSITION
WITH A PRIVATE MONEY MANAGEMENT FIRM CONDUCTING MUTUAL FUND INVESTMENT
OPERATIONS. MR. SMITH HOLDS A B.A. DEGREE FROM THE UNIVERSITY OF SAN DIEGO AND
IS A CHARTERED FINANCIAL ANALYST.
Q. THE OVERLAND EXPRESS U.S. GOVERNMENT INCOME FUND POSTED COMPETITIVE
PERFORMANCE DURING THE FIRST HALF OF THE YEAR. WHAT CRITERIA ARE USED IN
SECURITY SELECTION IN ORDER TO MEET ITS OBJECTIVES?
A. The Fund invests in a portfolio consisting of securities issued or guaranteed
by the U.S. government, its agencies and instrumentalities. Criteria for
security selection are dictated by current market conditions. The rise in
interest rates over the six months ended June 30, 1996 had a positive impact on
mortgage-backed securities by reducing the refinancing of mortgages and
consequently lessening pre-payment risk. With this in mind, we focused on
higher-yielding securities. To reach this goal, restructuring the mortgage
portfolio to "seasoned" Government National Mortgage Association ("GNMA")
securities was necessary since these are typically higher-paying securities to
which can be attributed less pre-payment risk.
Q. DURING THE FIRST SIX MONTHS WHAT ECONOMIC FACTORS INFLUENCED THE FUND?
A. During the first six months, expectations of an economic slow down
disappeared as the U.S. economy displayed surprising strength. Interest rates
rose steadily due in part to strong gains in employment, retail and auto sales,
as well as to a stronger than expected housing sector.
Prepayment risk of fixed-rate mortgages decreased as interest rates continued to
increase. The Fund held a large allocation of seasoned higher-coupon mortgages
which performed well in this economic environment. However, the Fund also held
some longer duration treasury securities that had poor price performance due to
the increase in interest rates. We have begun to sell a portion of these
securities and intend to do so as interest rates increase.
Q. WHAT IS YOUR ECONOMIC OUTLOOK FOR THE REMAINDER OF 1996 AND HOW WILL THIS
AFFECT THE FUND'S STRATEGY?
A. We expect the U.S. economy to continue to grow. We expect the long bond yield
to fluctuate in the range of 6.75% to 7.75%, and we look for short-term rates to
remain below 6.00%. Within this environment, the Fund will take on a more
defensive posture, reducing its sensitivity to increases in market interest
rates.
AN INVESTMENT IN THE FUND IS NEITHER INSURED NOR GUARANTEED BY THE U.S.
GOVERNMENT OR ANY GOVERNMENT AGENCY, NOR BY WELLS FARGO BANK.
19
<PAGE>
OVERLAND EXPRESS U.S. GOVERNMENT INCOME FUND
................................................................................
<TABLE>
<CAPTION>
CLASS A PERFORMANCE AS OF 6/30/96 SINCE INCEPTION
AVERAGE ANNUAL 1-YEAR 3-YEAR 5-YEAR (4/7/88)
<S> <C> <C> <C> <C>
......................................................................................................
Total Returns w/Load -2.56% 2.22% 6.94% 7.98%
Total Returns w/o Load 2.01% 3.81% 7.93% 8.58%
</TABLE>
<TABLE>
<CAPTION>
CLASS D PERFORMANCE AS OF 6/30/96 SINCE INCEPTION
AVERAGE ANNUAL 1-YEAR W/CDSC 1-YEAR W/O CDSC (7/1/93)
<S> <C> <C> <C>
................................................................................................
Total Returns 0.38% 1.33% 3.03%
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS FOR THE INDICATED PERIODS ASSUME SHARES WERE
PURCHASED AT THE OFFERING PRICE, WHICH INCLUDES WHERE INDICATED, THE MAXIMUM
4.5% INITIAL SALES CHARGE FOR CLASS A SHARES, AND FOR CLASS D SHARES, THE 1%
CONTINGENT DEFERRED SALES CHARGE ("CDSC"). THIS REPRESENTS THE AVERAGE ANNUAL
INCREASE IN VALUE OF THE INVESTMENT OVER THE INDICATED PERIODS, ASSUMING
REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS DISTRIBUTIONS AT NET ASSET VALUE.
YOUR INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE WITH MARKET
CONDITIONS, SO THAT YOUR SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN
THEIR ORIGINAL COST. PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE.
CLASS A SHARES HAVE BEEN OFFERED SINCE APRIL 7, 1988, AND CLASS D SHARES HAVE
BEEN OFFERED SINCE JULY 1, 1993. THE AVERAGE ANNUAL TOTAL RETURN FOR 1-YEAR WITH
CDSC REFLECTS THE CONTINGENT DEFERRED SALES CHARGE IMPOSED ON REDEMPTIONS WITHIN
THE FIRST YEAR OF PURCHASING SHARES.
DURING THE PERIOD, WELLS FARGO BANK HAS VOLUNTARILY WAIVED PORTIONS OF ITS FEES
OR ASSUMED RESPONSIBILITY FOR OTHER EXPENSES, WHICH HAS REDUCED OPERATING
EXPENSES FOR SHAREHOLDERS. WITHOUT THESE REDUCTIONS, THE FUND'S RETURNS WOULD
HAVE BEEN LOWER. THE FEE WAIVER MAY BE DISCONTINUED AT ANY TIME.
20
<PAGE>
OVERLAND EXPRESS U.S. TREASURY MONEY MARKET FUND -- CLASS A
Q. HOW DID THE OVERLAND EXPRESS U.S. TREASURY MONEY MARKET FUND-CLASS A PERFORM
DURING 1996?
A. The Fund's seven day simple yield as of June 30, 1996 was 4.52%. The Fund
achieved its objective of maintaining principal stability at a $1.00 per share
net asset value while providing competitive money market yields.
Q. HOW HAS 1996'S ECONOMIC ENVIRONMENT INFLUENCED THE PERFORMANCE OF MONEY
MARKET FUNDS IN GENERAL?
A. Led by strong housing and auto sales, a strong economy led the Fed to
consider tightening monetary policy and increasing the federal funds target
rate. As credit markets began to anticipate this move, interest rates continued
their ascent. Generally as the Fed tightens monetary policy, money market yields
increase. The yield on three-month Treasury bills rose from a second quarter low
of 4.95% in early April to a high of 5.27% late in the quarter. We believe that
there is a strong likelihood that the Fed will increase the federal funds target
rate before the conclusion of the August 20, 1996 FOMC meeting.
Q. GIVEN 1996'S ECONOMIC ENVIRONMENT, WERE THERE ANY CHANGES MADE TO THE
PORTFOLIO?
A. As tighter monetary policy appeared increasingly imminent and short-term
yields rose, the weighted average maturity of the Fund was shortened slightly
during the quarter. We intend to maintain the weighted average days to maturity
between 45 to 55 days under current market conditions.
Q. WHAT IS THE CURRENT COMPOSITION OF THE PORTFOLIO?
A. As of June 30, 1996, the Fund's portfolio was comprised entirely of U.S.
Treasury bills.
ALTHOUGH THE FUND SEEKS TO MAINTAIN A $1.00 PER SHARE NET ASSET VALUE, THERE IS
NO ASSURANCE THAT IT WILL MEET THIS OBJECTIVE.
AN INVESTMENT IN THE FUND IS NEITHER INSURED NOR GUARANTEED BY THE U.S.
GOVERNMENT OR ANY GOVERNMENT AGENCY, NOR BY WELLS FARGO BANK.
ANNUALIZED YIELD IS FOR THE 7-DAY PERIOD ENDED JUNE 30, 1996. YIELD REFLECTS
FLUCTUATIONS IN INTEREST RATES ON PORTFOLIO INVESTMENTS AND FUND EXPENSES. PAST
PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.
21
<PAGE>
OVERLAND EXPRESS VARIABLE RATE GOVERNMENT FUND
PAUL SINGLE, SENIOR TAXABLE SPECIALIST/CO-PORTFOLIO MANAGER. MR. SINGLE HAS
MANAGED TAXABLE BOND PORTFOLIOS FOR OVER A DECADE WITH SPECIFIC EXPERTISE IN
MORTGAGE-BACKED SECURITIES. PRIOR TO JOINING WELLS FARGO BANK IN EARLY 1988, HE
WAS A SENIOR PORTFOLIO MANAGER FOR BENHAM CAPITAL MANAGEMENT GROUP. MR. SINGLE
RECEIVED HIS B.S. FROM SPRINGFIELD COLLEGE. HE HAS CO-MANAGED THE FUND SINCE ITS
INCEPTION.
SCOTT SMITH, CO-PORTFOLIO MANAGER. MR. SMITH JOINED WELLS FARGO BANK IN 1988 AS
A TAXABLE MONEY MARKET PORTFOLIO SPECIALIST. HIS EXPERIENCE INCLUDES A POSITION
WITH A PRIVATE MONEY MANAGEMENT FIRM CONDUCTING MUTUAL FUND INVESTMENT
OPERATIONS. MR. SMITH HOLDS A B.A. DEGREE FROM THE UNIVERSITY OF SAN DIEGO.
Q. HOW DID THE OVERLAND EXPRESS VARIABLE RATE GOVERNMENT FUND PERFORM IN THE
FIRST HALF OF THE YEAR?
A. The Fund had a total return of 1.51% for class A shares and a 1.25% for class
D shares for the period ended June 30, 1996. The Fund seeks to provide
shareholders with a high level of current income, while reducing principal
volatility. We invest in adjustable-rate mortgage securities issued or
guaranteed by the U.S. Government, its agencies and instrumentalities.
Q. IN LIGHT OF RISING INTEREST RATES, HOW WAS THE FUND POSITIONED IN THE LAST
SIX MONTHS? WHAT CHANGES IF ANY WERE MADE TO THE PORTFOLIO?
A. Expectations of an economic slowdown disappeared as the U.S. economy
displayed surprising vitality. Interest rates rose steadily due in part to
strong gains in employment, retail and auto sales, as well as to a stronger than
expected housing sector.
Prepayment risk of adjustable-rate mortgages ("ARMs") decreased as interest
rates increased. The Fund held some Federal National Mortgage Association and
Federal Home Loan Mortgage Association ARMs which performed well due to
expectations of higher-coupon income from the higher interest rates. The Fund
also had an allocation of Government National Mortgage Association ARMs. These
securities had slightly poorer performance due to their sensitivity to
interest-rate increases.
Q. WHAT IS YOUR ECONOMIC OUTLOOK FOR THE REMAINDER OF THE YEAR AND HOW WILL THIS
AFFECT THE FUND?
A. We believe that the U.S. economy will continue to grow at an above-average
rate. We expect the long-bond yield to fluctuate between 6.75% and 7.75%, and we
look for short-term rates to remain below 6.00%. In this environment, the Fund
will take on a more defensive posture. We will also continue to monitor
prepayment risk of the ARMs in the portfolio.
AN INVESTMENT IN THE FUND IS NEITHER INSURED NOR GUARANTEED BY THE U.S.
GOVERNMENT OR ANY GOVERNMENT AGENCY, NOR BY WELLS FARGO BANK.
22
<PAGE>
OVERLAND EXPRESS VARIABLE RATE GOVERNMENT FUND
................................................................................
<TABLE>
<CAPTION>
CLASS A PERFORMANCE AS OF 6/30/96 SINCE INCEPTION
AVERAGE ANNUAL 1-YEAR 3-YEAR 5-YEAR (11/1/90)
<S> <C> <C> <C> <C>
......................................................................................................
Total Returns w/Load 1.63% 1.24% 3.03% 3.93%
Total Returns w/o Load 4.80% 2.28% 3.66% 4.49%
</TABLE>
<TABLE>
<CAPTION>
CLASS D PERFORMANCE AS OF 6/30/96 SINCE INCEPTION
AVERAGE ANNUAL 1-YEAR W/CDSC 1-YEAR W/O CDSC (7/1/93)
<S> <C> <C> <C>
................................................................................................
Total Returns 3.21% 4.20% 1.70%
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS FOR THE INDICATED PERIODS ASSUME SHARES WERE
PURCHASED AT THE OFFERING PRICE, WHICH INCLUDES WHERE INDICATED, THE MAXIMUM 3%
INITIAL SALES CHARGE, AND FOR CLASS D SHARES, THE 1% CONTINGENT DEFERRED SALES
CHARGE ("CDSC"). THIS REPRESENTS THE AVERAGE ANNUAL INCREASE IN VALUE OF THE
INVESTMENT OVER THE INDICATED PERIODS, ASSUMING REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS DISTRIBUTIONS AT NET ASSET VALUE. YOUR INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE WITH MARKET CONDITIONS, SO THAT YOUR SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. PAST PERFORMANCE
IS NOT PREDICTIVE OF FUTURE PERFORMANCE. CLASS A SHARES HAVE BEEN OFFERED SINCE
NOVEMBER 1, 1990, AND CLASS D SHARES HAVE BEEN OFFERED SINCE JULY 1, 1993. THE
AVERAGE ANNUAL TOTAL RETURN FOR 1-YEAR WITH CDSC REFLECTS THE CONTINGENT
DEFERRED SALES CHARGE IMPOSED ON REDEMPTIONS WITHIN THE FIRST YEAR OF PURCHASING
SHARES.
DURING THE PERIOD, WELLS FARGO BANK HAS VOLUNTARILY WAIVED PORTIONS OF ITS FEES
OR ASSUMED RESPONSIBILITY FOR OTHER EXPENSES, WHICH HAS REDUCED OPERATING
EXPENSES FOR SHAREHOLDERS. WITHOUT THESE REDUCTIONS, THE FUND'S RETURNS WOULD
HAVE BEEN LOWER. THE FEE WAIVER MAY BE DISCONTINUED AT ANY TIME.
23
<PAGE>
ASSET ALLOCATION FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - 69.09%
1,648 3Com Corp+ $ 76,512 $ 75,396
7,929 Abbott Laboratories 280,798 344,912
1,385 Advanced Micro Devices+ 37,820 18,871
1,153 Aetna Life & Casualty Co 68,584 82,440
1,200 Ahmanson (H F) & Co 25,061 32,400
1,092 Air Products & Chemicals Inc 53,161 63,063
5,008 Airtouch Communications+ 128,482 141,476
255 Alberto-Culver Co Class B 7,619 11,826
2,515 Albertson's Inc 73,249 104,058
2,332 Alcan Aluminium Ltd 60,655 71,126
1,272 Alco Standard Corp 48,159 57,558
413 Alexander & Alexander Services 9,451 8,157
613 Allergan Inc 16,828 24,060
2,909 Allied Signal Inc 116,930 166,177
4,544 Allstate Corp 137,220 207,320
1,895 Alltel Corp 53,068 58,271
1,773 Aluminum Co of America 74,023 101,726
852 ALZA Corp+ 19,172 23,324
1,162 Amdahl Corp+ 10,132 12,492
994 Amerada Hess Corp 51,120 53,303
1,827 American Brands Inc 69,036 82,900
1,860 American Electric Power Inc 66,132 79,283
4,885 American Express Corp 165,889 217,993
2,130 American General Corp 70,483 77,479
728 American Greetings Corp Class A 20,981 19,929
6,420 American Home Products Corp 237,665 386,003
4,735 American International Group Inc 337,447 466,989
1,546 American Stores Co 39,769 63,773
5,625 Ameritech Corp 251,674 333,984
2,672 Amgen Inc+ 85,021 144,288
5,039 Amoco Corp 317,757 364,698
2,248 AMP Inc 85,960 90,201
900 AMR Corp+ 67,307 81,900
593 Andrew Corp+ 11,686 31,874
2,597 Anheuser-Busch Inc 141,525 194,775
</TABLE>
24
<PAGE>
ASSET ALLOCATION FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - CONTINUED
1,072 Aon Corp $ 58,238 $ 54,404
1,220 Apple Computer Inc 46,244 25,620
1,856 Applied Materials Inc+ 59,472 56,608
5,307 Archer-Daniels-Midland Co 86,581 101,496
1,057 Armco Inc+ 6,914 5,285
359 Armstrong World Industries Inc 17,065 20,687
393 ASARCO Inc 11,223 10,857
664 Ashland Inc 23,099 26,311
16,273 AT & T Corp 897,023 1,008,926
1,620 Atlantic Richfield Corp 184,071 191,970
444 Autodesk Inc 16,283 13,265
2,885 Automatic Data Processing 88,370 111,433
537 Avery Dennison Corp 18,040 29,468
1,376 Avon Products Inc 41,245 62,092
1,484 Baker Hughes Inc 33,297 48,787
275 Ball Corp 8,661 7,906
554 Bally Entertainment Corp+ 6,989 15,235
1,485 Baltimore Gas & Electric Co 37,157 42,137
4,615 Banc One Corp 142,819 156,910
1,104 Bank of Boston Corp 36,031 54,648
2,020 Bank of New York Inc 75,719 103,525
3,651 BankAmerica Corp 182,111 276,563
808 Bankers Trust N Y Corp 55,408 59,691
563 Bard (C R) Inc 15,098 19,142
941 Barnett Banks Inc 44,664 57,401
3,640 Barrick Gold Corp 96,276 98,735
568 Bausch & Lomb Inc 23,907 24,140
2,732 Baxter International Inc 84,922 129,087
1,914 Bay Networks Inc+ 90,366 49,286
659 Becton Dickinson & Co 32,283 52,885
4,461 Bell Atlantic Corp 259,355 284,389
10,058 BellSouth Corp 314,005 426,208
496 Bemis Co Inc 13,128 17,360
507 Beneficial Corp 22,365 28,455
1,142 Bethlehem Steel Corp+ 18,852 13,561
</TABLE>
25
<PAGE>
ASSET ALLOCATION FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - CONTINUED
967 Beverly Enterprises+ $ 11,685 $ 11,604
1,118 Biomet Inc+ 14,803 16,071
879 Black & Decker Corp 22,631 33,951
1,057 Block (H & R) Inc 42,350 34,485
1,576 Boatmen's Bancshares Inc 57,168 63,237
3,540 Boeing Co 185,831 308,423
452 Boise Cascade Corp 15,789 16,555
1,823 Boston Scientific Corp+ 55,044 82,035
287 Briggs & Stratton Corp 10,394 11,803
5,073 Bristol-Myers Squibb Co 325,733 456,570
194 Brown Group Inc 5,843 3,371
675 Brown-Forman Corp Class B 20,614 27,000
2,109 Browning-Ferris Industries Inc 68,079 61,161
1,022 Brunswick Corp 20,036 20,440
1,500 Burlington Northern Santa Fe 88,151 121,313
1,294 Burlington Resources Inc 53,479 55,642
684 Cabletron Systems Inc+ 39,774 46,940
374 Caliber System Inc 16,460 12,716
2,570 Campbell Soup Co 121,002 181,185
1,565 Carolina Power & Light Co 47,135 59,470
763 Case Corp 34,034 36,624
1,936 Caterpillar Inc 99,594 131,164
288 Centex Corp 9,977 8,964
2,128 Central & South West Corp 58,652 61,712
656 Ceridian Corp+ 24,637 33,128
986 Champion International Corp 37,915 41,166
1,017 Charming Shoppes Inc+ 8,410 7,183
4,366 Chase Manhattan Bank 190,937 308,349
6,611 Chevron Corp 316,214 390,049
3,781 Chrysler Corp+ 177,904 234,422
1,779 Chubb Corp 76,770 88,728
768 CIGNA Corp 57,997 90,528
429 Cincinnati Milacron Inc 10,293 10,296
1,570 Cinergy Corp 40,022 50,240
995 Circuit City Stores Inc 26,258 35,944
</TABLE>
26
<PAGE>
ASSET ALLOCATION FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - CONTINUED
5,751 Cisco Systems Inc+ $ 131,388 $ 325,650
4,914 Citicorp 277,014 406,019
515 Clorox Co 31,680 45,642
1,111 Coastal Corp 34,462 46,384
25,160 Coca-Cola Co 700,405 1,229,695
1,442 Colgate-Palmolive Co 95,812 122,210
597 Columbia Gas System Inc+ 18,703 31,119
4,530 Columbia HCA Healthcare Corp 194,250 241,789
2,358 Comcast Corp Class A 43,076 43,623
1,172 Comerica Inc 43,817 52,301
434 Community Psychiatric Centers+ 5,179 4,123
2,723 Compaq Computer Corp+ 91,944 134,108
2,495 Computer Associates International Inc+ 97,284 177,769
524 Computer Sciences Corp+ 28,829 39,169
2,441 ConAgra Inc 76,206 110,760
775 Conrail Inc 44,279 51,441
2,347 Consolidated Edison Co 72,873 68,650
426 Consolidated Freightways 9,297 8,999
958 Consolidated Natural Gas Co 43,832 50,056
1,050 Cooper Industries Inc 44,538 43,575
808 Cooper Tire & Rubber Co 20,329 17,978
378 Coors (Adolph) Co Class B 6,883 6,757
2,207 CoreStates Financial Corp 82,525 84,970
2,356 Corning Inc 75,900 90,412
1,426 CPC International Inc 79,450 102,672
286 Crane Co 8,774 11,726
84 Cray Research Inc+ 1,629 2,027
1,261 Crown Cork & Seal Co+ 57,194 56,745
2,125 CSX Corp 83,371 102,531
1,976 CUC International Inc+ 56,920 70,148
412 Cummins Engine Co Inc 18,893 16,635
947 Cyprus Amax Minerals 25,304 21,426
1,021 Dana Corp 27,605 31,651
1,603 Darden Restaurants Inc+ 17,533 17,232
365 Data General Corp+ 4,063 4,745
</TABLE>
27
<PAGE>
ASSET ALLOCATION FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - CONTINUED
707 Dayton-Hudson Corp $ 49,166 $ 72,909
1,656 Dean Witter Discover & Co 73,339 94,806
2,617 Deere & Co 69,880 104,680
696 Delta Air Lines Inc 49,941 57,768
848 Deluxe Corp 28,332 30,104
969 Dial Corp 22,684 27,738
1,511 Digital Equipment Corp+ 63,407 67,995
1,155 Dillard Department Stores Inc Class A 35,701 42,158
6,825 Disney (Walt) Co 410,561 429,122
1,845 Dominion Resources Inc 75,174 73,800
1,548 Donnelley (R R) & Sons Co 51,573 53,987
1,118 Dover Corp 36,725 51,568
2,486 Dow Chemical Co 165,732 188,936
943 Dow Jones & Co Inc 33,712 39,370
1,829 Dresser Industries Inc 40,920 53,956
1,149 DSC Communications Corp+ 41,301 34,614
1,470 DTE Energy Co 45,547 45,386
2,046 Duke Power Co 84,658 104,858
1,706 Dun & Bradstreet Corp 98,038 106,625
5,656 DuPont (E I) de Nemours 345,659 447,531
211 Eastern Enterprises 5,868 7,016
810 Eastman Chemical Co 44,905 49,309
3,519 Eastman Kodak Co 197,466 273,602
798 Eaton Corp 42,417 46,783
581 Echlin Inc 20,414 22,005
1,271 Echo Bay Mines Ltd 13,571 13,663
631 Ecolab Inc 14,794 20,823
4,497 Edison International 86,289 79,260
484 EG & G Inc 8,505 10,346
2,353 EMC Corp+ 51,788 43,825
2,302 Emerson Electric Co 154,104 208,043
1,439 Engelhard Corp 31,267 33,097
2,519 Enron Corp 87,326 102,964
714 Enserch Corp 12,418 15,530
2,280 Entergy Corp 66,582 64,695
</TABLE>
28
<PAGE>
ASSET ALLOCATION FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - CONTINUED
12,526 Exxon Corp $ 866,357 $ 1,088,196
536 Federal Express Corp+ 35,460 43,952
1,826 Federal Home Loan Mortgage Corp 112,005 156,123
11,049 Federal National Mortgage Assoc 244,868 370,142
2,107 Federated Department Stores Inc+ 58,452 71,901
1,027 Fifth Third Bancorp 59,939 55,458
1,475 First Bank System Inc 76,898 85,550
3,167 First Chicago NBD Corp 97,912 123,909
2,216 First Data Corp 139,046 176,449
2,875 First Union Corp 124,814 175,016
2,708 Fleet Financial Group Inc 91,550 117,798
470 Fleetwood Enterprises Inc 10,054 14,570
358 Fleming Co Inc 9,193 5,146
810 Fluor Corp 40,935 52,954
344 FMC Corp+ 22,576 22,446
11,912 Ford Motor Co 347,531 385,651
412 Foster Wheeler Corp 15,122 18,489
1,906 FPL Group Inc 73,990 87,676
2,037 Freeport McMoRan Copper & Gold Inc Class B 55,712 64,929
725 Fruit of the Loom Inc Class A+ 19,363 18,488
1,413 Gannett Co Inc 76,036 99,970
2,926 Gap Inc 54,027 93,998
626 General Dynamics Corp 28,433 38,812
16,818 General Electric Co 942,563 1,454,757
1,310 General Instrument Corp+ 36,027 37,826
1,603 General Mills Inc 81,318 87,364
7,625 General Motors Corp 358,358 399,359
1,179 General Public Utilities 35,654 41,560
850 General Re Corp 109,589 129,413
559 General Signal Corp 20,444 21,172
1,202 Genuine Parts Co 46,436 54,992
924 Georgia-Pacific Corp 68,223 65,604
569 Giant Food Inc Class A 15,621 20,413
330 Giddings & Lewis Inc 6,368 5,363
4,503 Gillette Co 174,594 280,875
</TABLE>
29
<PAGE>
ASSET ALLOCATION FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - CONTINUED
593 Golden West Financial $ 26,119 $ 33,208
519 Goodrich (B F) Co 12,120 19,398
1,527 Goodyear Tire & Rubber Co 63,252 73,678
961 Grace (W R) & Co 52,316 68,111
493 Grainger (W W) Inc 29,704 38,208
389 Great Atlantic & Pacific Tea Co 9,950 12,788
613 Great Lakes Chemical Corp 39,836 38,159
1,377 Great Western Financial Corp 28,168 32,876
1,365 Green Tree Financial Inc 46,272 42,656
9,818 GTE Corp 350,631 439,356
1,212 Halliburton Co 45,657 67,266
753 Harcourt General Inc 29,290 37,650
289 Harland (John H) Co 6,807 7,117
454 Harnischfeger Industries Inc 14,182 15,096
1,093 Harrah's Entertainment Inc+ 33,039 30,877
373 Harris Corp 17,843 22,753
902 Hasbro Inc 30,993 32,247
3,742 Heinz (H J) Co 102,910 113,663
227 Helmerich & Payne Inc 6,636 8,314
1,114 Hercules Inc 50,484 61,549
742 Hershey Foods Corp 39,863 54,444
5,192 Hewlett Packard Co 311,140 517,253
466 Hilton Hotels Corp 31,606 52,425
4,838 Home Depot Inc 203,323 261,252
1,455 Homestake Mining Co 25,627 24,917
1,239 Honeywell Inc 47,555 67,526
949 Household International Inc 42,463 72,124
2,631 Houston Industries Inc 56,576 64,788
1,587 Humana Inc+ 44,401 28,368
1,175 Illinois Tool Works Inc 55,528 79,459
1,212 Inco Ltd 29,415 39,087
1,087 Ingersoll-Rand Co 39,836 47,556
519 Inland Steel Industries Inc 15,237 10,185
8,273 Intel Corp 388,772 607,548
444 Intergraph Corp+ 5,060 5,384
</TABLE>
30
<PAGE>
ASSET ALLOCATION FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - CONTINUED
5,506 International Business Machines Corp $ 428,506 $ 545,094
1,081 International Flavors & Fragrances 49,162 51,483
3,051 International Paper Co 106,175 112,506
854 Interpublic Group Cos Inc 31,315 40,031
1,238 ITT Corp+ 56,035 82,018
1,238 ITT Hartford Group Inc+ 53,263 65,924
1,238 ITT Industries Inc 24,085 31,105
845 James River Corp 18,893 22,287
715 Jefferson-Pilot Corp 25,792 36,912
13,460 Johnson & Johnson 411,095 666,270
378 Johnson Controls Inc 22,494 26,271
392 Jostens Inc 8,067 7,742
4,923 K Mart Corp 86,013 60,922
401 Kaufman & Broad Home Corp 6,161 5,815
2,164 Kellogg Co 132,798 158,513
488 Kerr-McGee Corp 26,359 29,707
2,333 KeyCorp 70,724 90,404
2,797 Kimberly-Clark Corp 139,419 216,068
344 King World Productions+ 14,340 12,513
521 Knight-Ridder Inc 28,635 37,773
1,262 Kroger Co+ 32,363 49,849
2,930 Laidlaw Inc Class B 26,232 29,666
5,576 Lilly (Eli) & Co 200,888 362,440
2,718 Limited Inc 54,611 58,437
1,057 Lincoln National Corp 46,262 48,886
707 Liz Claiborne Inc 14,586 24,480
1,984 Lockheed Martin Corp 111,611 166,656
1,195 Loews Corp 67,406 94,256
213 Longs Drug Stores Corp 7,190 9,505
310 Louisiana Land & Exploration Co 13,015 17,864
1,095 Louisiana-Pacific Corp 33,829 24,227
1,624 Lowe's Co Inc 45,650 58,667
1,273 LSI Logic Corp+ 47,263 33,098
266 Luby's Cafeterias Inc 6,105 6,251
790 Mallinckrodt Group Inc 26,263 30,711
</TABLE>
31
<PAGE>
ASSET ALLOCATION FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - CONTINUED
654 Manor Care Inc $ 16,777 $ 25,751
1,275 Marriott International 39,205 68,531
729 Marsh & McLennan Companies Inc 59,988 70,349
1,631 Masco Corp 48,223 49,338
2,823 Mattel Inc 53,462 80,808
2,568 May Co Department Stores Co 92,916 112,350
1,066 Maytag Corp 17,983 22,253
2,250 MBNA Corp 43,128 64,125
533 McDermott International Inc 14,410 11,126
7,078 McDonald's Corp 241,249 330,897
2,298 McDonnell Douglas Corp 56,450 111,453
1,049 McGraw-Hill Inc 41,095 47,992
6,951 MCI Communications 159,837 178,119
570 Mead Corp 28,578 29,569
2,391 Medtronic Inc 80,332 133,896
1,341 Mellon Bank Corp 55,670 76,437
1,076 Melville Corp 42,870 43,578
352 Mercantile Stores Co Inc 14,895 20,636
12,369 Merck & Co Inc 531,975 799,347
298 Meredith Corp 7,180 12,442
1,756 Merrill Lynch & Co Inc 82,874 114,360
2,129 Micron Technology Inc 74,988 55,088
5,993 Microsoft Corp+ 430,005 719,909
416 Millipore Corp 12,495 17,420
4,243 Minnesota Mining & Manufacturing Co 242,228 292,767
4,016 Mobil Corp 370,655 450,294
6,000 Monsanto Co 92,741 195,000
961 Moore Corp Ltd 19,127 18,139
1,879 Morgan (J P) & Co Inc 133,746 159,010
1,530 Morgan Stanley Group 74,514 75,161
1,444 Morton International Inc 44,423 53,789
5,983 Motorola Inc 335,502 376,181
95 NACCO Industries Inc Class A 4,583 5,261
648 Nalco Chemical Co 22,636 20,412
2,290 National City Corp 72,535 80,436
</TABLE>
32
<PAGE>
ASSET ALLOCATION FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - CONTINUED
1,338 National Semiconductor+ $ 28,184 $ 20,739
489 National Service Industries Inc 13,032 19,132
3,076 NationsBank 173,288 254,155
756 Navistar International Corp+ 13,629 7,466
953 New York Times Co Class A 23,339 31,092
1,590 Newell Co 35,721 48,694
960 Newmont Mining Corp 39,771 47,400
1,476 Niagara Mohawk Power Corp 26,503 11,439
487 NICOR Inc 12,787 13,819
1,489 Nike Inc Class B 61,931 152,995
1,534 NorAm Energy Corp 12,111 16,682
846 Nordstrom Inc 30,838 37,647
1,300 Norfolk Southern Corp 87,112 110,175
654 Northern States Power Co 30,077 32,291
2,627 Northern Telecom Ltd 89,891 142,843
562 Northrop Grumman Corp 29,932 38,286
3,737 Norwest Corp 106,115 130,328
3,696 Novell Inc+ 74,331 51,282
895 Nucor Corp 43,728 45,309
4,426 NYNEX Corp 190,098 210,235
3,263 Occidental Petroleum Corp 70,546 80,759
484 Ogden Corp 10,325 8,773
1,529 Ohio Edison Co 33,870 33,447
246 ONEOK Inc 4,888 6,150
6,638 Oracle Systems Corp+ 134,768 261,786
1,036 Oryx Energy Co+ 17,187 16,835
177 Outboard Marine Corp 3,678 3,208
487 Owens Corning Fiberglass Corp 19,600 20,941
365 PACCAR Inc 17,931 17,885
846 Pacific Enterprises 21,376 25,063
4,232 Pacific Gas & Electric Co 128,583 98,394
4,333 Pacific Telesis Group 134,154 146,239
3,005 PacifiCorp 58,095 66,861
1,212 Pall Corp 26,684 29,240
1,519 Panenergy Corp 35,486 49,937
</TABLE>
33
<PAGE>
ASSET ALLOCATION FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - CONTINUED
771 Parker Hannifin Corp $ 24,215 $ 32,671
2,203 PECO Energy Co 62,761 57,278
2,232 Penney (J C) Co Inc 102,412 117,180
431 Pennzoil Co 21,243 19,934
339 Peoples Energy Corp 10,042 11,357
591 Pep Boys-Manny Moe & Jack 16,520 20,094
15,800 Pepsico Inc 345,096 558,925
410 Perkin-Elmer Corp 13,334 19,783
6,481 Pfizer Inc 273,895 462,581
5,128 Pharmacia and Upjohn Inc+ 173,248 227,555
700 Phelps Dodge Corp 36,343 43,663
8,408 Philip Morris Co Inc 547,522 874,432
2,682 Phillips Petroleum Co 91,086 112,309
807 Pioneer Hi Bred International Inc 32,329 42,670
1,508 Pitney Bowes Inc 59,516 72,007
2,382 Placer Dome Inc 55,798 56,870
3,409 PNC Bank Corp 99,913 101,418
450 Polaroid Corp 16,092 20,531
268 Potlatch Corp 11,513 10,486
1,581 PP & L Resources Inc 40,874 37,351
1,966 PPG Industries Inc 73,847 95,843
1,544 Praxair Inc 36,904 65,234
1,931 Price/Costco Inc+ 31,615 41,758
6,935 Procter & Gamble Co 457,597 628,484
935 Providian Corp 35,184 40,088
2,522 Public Services Enterprise Group 75,875 69,040
288 Pulte Corp 8,939 7,704
1,366 Quaker Oats Co 46,996 46,615
1,025 Ralston-Purina Group 48,485 65,728
417 Raychem Corp 18,774 29,972
2,381 Raytheon Co 83,918 122,919
768 Reebok International Ltd 23,618 25,824
552 Republic New York Corp 32,360 34,362
698 Reynolds Metals Co 35,253 36,383
820 Rite Aid Corp 19,865 24,395
</TABLE>
34
<PAGE>
ASSET ALLOCATION FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - CONTINUED
2,195 Rockwell International Corp $ 91,376 $ 125,664
671 Rohm & Haas Co 38,228 42,105
821 Rowan Co Inc+ 6,637 12,110
5,410 Royal Dutch Petroleum Co 640,861 831,788
1,567 Rubbermaid Inc 47,580 42,701
366 Russell Corp 10,526 10,111
474 Ryan's Family Steak House+ 3,667 4,385
786 Ryder System Inc 18,917 22,106
1,242 SAFECO Corp 37,922 43,936
554 Safety-Kleen Corp 8,960 9,695
1,087 Salomon Inc 45,358 47,828
876 Santa Fe Energy Resources Inc+ 8,551 10,403
1,316 Santa Fe Pacific Gold Corp 18,246 18,589
4,884 Sara Lee Corp 132,891 158,120
6,183 SBC Communication Inc 277,698 304,513
3,730 Schering-Plough Corp 144,049 234,058
2,430 Schlumberger Ltd 153,650 204,728
791 Scientific-Atlanta Inc 15,598 12,261
3,823 Seagram Co Ltd 108,610 128,548
3,975 Sears Roebuck & Co 121,816 193,284
1,162 Service Corp International 36,712 66,815
238 Shared Medical System Corp 6,733 15,292
916 Sherwin Williams Co 34,154 42,594
413 Shoney's Inc+ 6,115 4,491
491 Sigma-Aldrich Corp 20,496 26,269
1,612 Silicon Graphics Inc+ 57,640 38,688
416 Snap-On Inc 16,267 19,708
859 Sonat Inc 26,775 38,655
6,794 Southern Co 146,807 167,302
1,507 Southwest Airlines Co 36,576 43,891
188 Springs Industries Inc Class A 7,174 9,494
4,421 Sprint Corp 137,699 185,682
843 St Jude Medical Inc+ 25,793 28,241
861 St Paul Co Inc 40,760 46,064
866 Stanley Works 17,691 25,764
</TABLE>
35
<PAGE>
ASSET ALLOCATION FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - CONTINUED
960 Stone Container Corp+ $ 16,424 $ 13,200
473 Stride Rite Corp 6,192 3,902
729 Sun Co Inc 22,140 22,143
1,865 Sun Microsystems Inc+ 35,172 109,802
2,300 SunTrust Banks Inc 60,651 85,100
692 Super Value Inc 21,051 21,798
1,886 Sysco Corp 54,454 64,596
1,202 Tandem Computers Inc+ 15,232 14,875
642 Tandy Corp 30,048 30,415
348 Tektronix Inc 12,756 15,573
6,663 Tele-Communication Inc Class A+ 111,297 120,767
548 Teledyne Inc 13,339 19,797
857 Tellabs Inc+ 40,091 57,312
531 Temple-Inland Inc 24,173 24,824
2,159 Tenet Healthcare Corp+ 34,406 46,149
1,754 Tenneco Inc 84,542 89,673
2,645 Texaco Inc 180,043 221,849
1,897 Texas Instruments Inc 89,915 94,613
2,255 Texas Utilities Co 88,689 96,401
871 Textron Inc 49,808 69,571
412 Thomas & Betts Corp 12,972 15,450
3,971 Time Warner Inc 157,138 155,862
1,142 Times Mirror Co Class A 24,582 49,677
318 Timken Co 11,522 12,323
726 TJX Companies Inc 13,997 24,503
708 Torchmark Corp 32,065 30,975
2,729 Toys R Us Inc+ 86,195 77,777
686 Transamerica Corp 40,222 55,566
4,749 Travelers Inc 136,594 216,673
650 Tribune Co 37,071 47,206
293 Trinova Corp 9,080 9,779
632 TRW Inc 46,847 56,801
623 Tupperware Corp+ 19,933 26,322
1,501 Tyco International Inc 39,964 61,166
1,599 U.S. Bancorp 50,436 57,764
</TABLE>
36
<PAGE>
ASSET ALLOCATION FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - CONTINUED
1,534 U.S. Healthcare Inc $ 60,315 $ 84,370
335 U.S. Life Corp 8,650 11,013
4,818 U.S. West Inc 124,786 153,574
4,718 U.S. West Media Group+ 82,733 86,104
2,141 Unicom Corp 59,425 59,680
1,606 Unilever NV 193,768 233,071
693 Union Camp Corp 34,655 33,784
1,370 Union Carbide Corp 37,291 54,458
990 Union Electric Co 38,695 39,848
2,035 Union Pacific Corp 118,280 142,196
1,760 Unisys Corp+ 18,981 12,540
1,829 United Healthcare Corp 81,120 92,365
648 United States Surgical 15,801 20,088
1,191 United Technologies Corp 85,265 136,965
2,536 Unocal Corp 72,877 85,590
695 UNUM Corp 34,615 43,264
590 USAir Group Inc+ 6,121 10,620
1,164 USF & G Corp 18,274 19,061
2,047 UST Inc 59,070 70,110
2,849 USX - Marathon Group 53,808 57,336
821 USX - US Steel Group 27,240 23,296
422 Varity Corp+ 17,798 20,309
628 VF Corp 31,214 37,445
3,775 Viacom Inc Class B+ 165,134 146,753
1,726 Wachovia Corp 64,040 75,513
23,170 Wal Mart Stores Inc 581,619 587,939
2,480 Walgreen Co 55,811 83,080
2,782 Warner Lambert Co 109,903 153,010
995 Wells Fargo & Co 127,392 237,681
1,283 Wendy's International Inc 22,009 23,896
510 Western Atlas Inc+ 23,257 29,708
4,224 Westinghouse Electric Corp 65,058 79,200
1,019 Westvaco Corp 26,996 30,443
2,051 Weyerhaeuser Co 86,593 87,168
732 Whirlpool Corp 41,461 36,326
</TABLE>
37
<PAGE>
ASSET ALLOCATION FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - CONTINUED
1,049 Whitman Corp $ 18,697 $ 25,307
575 Willamette Industries Inc 39,215 34,213
1,085 Williams Co Inc 37,170 53,708
1,567 Winn-Dixie Stores Inc 45,980 55,433
5,017 WMX Technologies Inc 141,937 164,307
1,311 Woolworth Corp+ 24,787 29,498
2,002 WorldCom Inc+ 93,506 110,861
876 Worthington Industries Inc 17,055 18,287
1,227 Wrigley (Wm) Jr Co 56,312 61,964
3,276 Xerox Corp 111,216 175,218
274 Yellow Corp+ 6,042 3,631
------------ ------------
TOTAL COMMON STOCKS $ 39,588,353 $ 51,138,047
</TABLE>
38
<PAGE>
ASSET ALLOCATION FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
U.S. TREASURY SECURITIES - 29.02%
$ 6,350,000 U.S. Treasury Bonds 7.50 % 11/15/24 $ 6,731,000
9,300,000 U.S. Treasury Bonds 8.13 05/15/21 10,477,017
3,600,000 U.S. Treasury Bonds 8.75 05/15/17 4,271,620
------------
TOTAL U.S. TREASURY SECURITIES $ 21,479,637
(Cost $21,238,810)
SHORT-TERM INSTRUMENTS - 2.40%
$ 42,000 U.S. Treasury Bills 4.30 %F 07/05/96 $ 41,972
283,000 U.S. Treasury Bills 4.34 F 07/11/96 282,588
299,000 U.S. Treasury Bills 4.87 F 08/08/96 297,424
482,000 U.S. Treasury Bills 4.92 F 08/15/96 479,027
114,000 U.S. Treasury Bills 5.06 F 08/29/96 113,088
322,000 U.S. Treasury Bills 5.15 F 09/12/96 318,709
242,000 U.S. Treasury Bills 5.18 F 09/19/96 239,241
------------
TOTAL SHORT-TERM INSTRUMENTS $ 1,772,049
(Cost $1,771,993)
TOTAL INVESTMENTS IN SECURITIES
</TABLE>
<TABLE>
<C> <S> <C> <C>
(Cost $62,599,156)* (Notes 1 and 3) 100.51 % $ 74,389,733
Other Assets and Liabilities, Net (0.51 ) (375,381)
------- ------------
TOTAL NET ASSETS 100.00 % $ 74,014,352
------- ------------
------- ------------
..........................................................................................................
</TABLE>
+ NON-INCOME EARNING SECURITIES.
F YIELD TO MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL
STATEMENT PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $12,483,370
Gross Unrealized Depreciation (692,793)
-----------
NET UNREALIZED APPRECIATION $11,790,577
-----------
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
39
<PAGE>
CALIFORNIA TAX-FREE BOND FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS - 95.55%
$ 1,000,000 ABAG Finance Authority for Nonprofit Corp CA
State Insured 7.10 % 12/01/20 $ 1,043,700
1,000,000 ABAG Finance Authority for Nonprofit Corp
Stanford University Hospital MBIA Insured 5.25 11/01/20 908,070
1,000,000 Alameda CA USD AMBAC Insured 6.05 07/01/11 1,026,780
1,000,000 Alameda County CA Water District Revenue COP
Water System Project MBIA Insured 6.20 06/01/13 1,017,780
1,000,000 Antioch CA Development Agency Tax Allocation
Project 1 FGIC Insured 6.40 09/01/17 1,033,280
3,550,000 California State DWR Central Valley Project
Revenue Series L 5.75 12/01/14 3,497,247
2,000,000 California State EDFA Revenue Chapman College
Refunding Pending 7.30 01/01/02 2,136,360
1,000,000 California State EDFA Revenue Claremont
Colleges Pooled Facilities 6.38 05/01/22 1,013,680
350,000 California State EDFA Revenue Loyola Marymount
University 6.00 10/01/14 352,055
710,000 California State EDFA Revenue Loyola Marymount
University Series B 6.55 10/01/12 745,493
1,200,000 California State EDFA Revenue University of San
Diego Project 6.50 10/01/08 1,274,736
1,355,000 California State GO AMBAC Insured 5.75 03/01/15 1,336,396
455,000 California State HFA Home Mortgage Revenue AMT
Series B Multiple Credit Enhancements 8.00 08/01/29 474,010
1,450,000 California State HFA Home Mortgage Revenue AMT
Series D Multiple Credit Enhancements 7.75 08/01/10 1,533,143
325,000 California State HFA Home Mortgage Revenue AMT
Series G Multiple Credit Enhancements 8.15 08/01/19 334,484
1,535,000 California State HFA Home Mortgage Revenue
Series A Multiple Credit Enhancements 7.35 08/01/11 1,612,548
</TABLE>
40
<PAGE>
CALIFORNIA TAX-FREE BOND FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS - CONTINUED
$ 445,000 California State HFA Home Mortgage Revenue
Series B Multiple Credit Enhancements 7.25 % 08/01/10 $ 464,700
125,000 California State HFA Home Mortgage Revenue
Series F Multiple Credit Enhancements 7.75 08/01/08 127,603
140,000 California State HFA Insured Housing Revenue
AMT Series C MBIA Insured 7.00 08/01/23 145,216
1,575,000 California State HFA Multi-Unit Rental Housing
Revenue Series A AMT 5.50 08/01/15 1,450,276
1,000,000 California State HFFA Episcopal Homes
Foundation Project State Insured 7.75 07/01/18 1,026,950
400,000 California State HFFA Episcopal Homes
Foundation Project State Insured 7.85 07/01/15 410,972
1,000,000 California State HFFA Gould Medical Foundation
Escrowed to Maturity 7.25 04/01/10 1,097,160
1,250,000 California State HFFA Gould Medical Foundation
Escrowed to Maturity 7.30 04/01/20 1,381,275
2,000,000 California State HFFA Revenue Catholic
Healthcare West AMBAC Insured 5.75 07/01/15 1,961,240
1,000,000 California State HFFA Revenue Insured Health
Facilities Valleycare Series State Insured 6.50 05/01/05 1,055,700
1,750,000 California State HFFA Revenue Small Insured
Health Facilities Series A 6.75 03/01/20 1,790,618
1,000,000 California State HFFA San Diego Hospital
Association MBIA Insured 6.20 08/01/12 1,020,320
1,000,000 California State Maritime Infrastructure
Authority Revenue Port of San Diego Project
AMBAC Insured 5.25 11/01/15 912,460
2,500,000 California State PCFA Resource Recovery Revenue
Waste Management AMT Series A 7.15 02/01/11 2,686,375
1,000,000 California State PCFA San Diego Gas & Electric
Co AMT 6.80 06/01/15 1,090,750
125,000 California State Public Capital Improvements FA
Revenue Joint Powers Agency Pooled Projects
Series 8.25 03/01/98 130,634
</TABLE>
41
<PAGE>
CALIFORNIA TAX-FREE BOND FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS - CONTINUED
$ 1,000,000 California State Public Works Board Lease
Revenue University Of California Project Series
A AMBAC Insured 6.30 % 12/01/09 $ 1,054,050
1,500,000 California State Public Works Board Lease
Revenue University Of California Project Series
B MBIA Insured 5.38 12/01/19 1,388,025
1,590,000 California Statewide CDA Motion Picture and
Television Development AMBAC Insured 5.25 01/01/13 1,494,330
1,500,000 California Statewide CDA Motion Picture and
Television Development AMBAC Insured 5.25 01/01/14 1,406,610
1,500,000 California Statewide CDA Revenue COP Hospital
Cedars Sinai Medical Center 6.50 08/01/12 1,566,495
1,250,000 Calleguas-Las Virgines CA PFA Calleguas MUD
FGIC Insured 5.13 07/01/21 1,113,650
3,840,000 Cathedral City CA PFA RevenueTax Allocation
Redevelopment Projects Series A MBIA Insured 5.25 08/01/13 3,604,032
1,000,000 Cerritos CA PFA Redevelopment Los Cerritos
Redevelopment Project Revenue AMBAC Insured 5.75 11/01/22 977,420
870,000 Chula Vista CA COP Town Centre II Package
Project RDA 6.00 09/01/11 869,435
2,000,000 Concord CA RDA Tax Allocation AMBAC Insured 5.25 07/01/19 1,832,660
1,200,000 Contra Costa County CA COP Public Facilities
Merrithew Memorial Hospital Replacement 6.60 11/01/12 1,240,332
500,000 Contra Costa County CA COP Public Facilities
Merrithew Memorial Hospital Replacement 6.63 11/01/22 514,320
270,000 Contra Costa County CA Home Mortgage Revenue
AMT Escrowed to Maturity 7.75 05/01/22 327,189
755,000 Contra Costa County CA Transportation Authority
Sales Tax Revenue Series A Escrowed to Maturity 6.50 03/01/09 807,926
</TABLE>
42
<PAGE>
CALIFORNIA TAX-FREE BOND FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS - CONTINUED
$ 4,000,000 Contra Costa County CA Transportation Authority
Sales Tax Revenue Series A FGIC Insured 5.50 % 03/01/08 $ 4,005,600
2,000,000 Contra Costa County CA Water District Revenue
MBIA Insured 5.50 10/01/19 1,906,520
3,000,000 Contra Costa County CA Water District Water
Revenue Series G MBIA Insured 5.75 10/01/14 2,992,560
1,500,000 Cupertino CA Series A AMBAC Insured 5.75 07/01/16 1,478,820
2,000,000 East Bay CA MUD Wastewater Treatment Revenue
FGIC Insured 5.00 06/01/16 1,796,800
2,000,000 East Bay CA MUD Wastewater Treatment Revenue
MBIA Insured 5.00 06/01/14 1,818,520
2,675,000 East Bay CA MUD Water System Revenue MBIA
Insured 6.00 06/01/12 2,703,355
2,655,000 East Bay CA Regional Park District Series B 5.75 09/01/13 2,599,882
500,000 Eastern Municipal Water District CA Water &
Sewer Revenue Certificates FGIC Insured 6.30 07/01/20 508,980
1,000,000 El Dorado County CA Bond Authority Lease
Revenue Capital Facilities Project 7.40 11/01/09 1,082,710
1,000,000 Emeryville CA PFA Housing Increment Revenue
Series A 6.35 05/01/10 1,022,510
1,725,000 Escondido CA PFA Lease Revenue Center for the
Arts AMBAC Insured 5.80 09/01/09 1,749,599
2,000,000 Escondido CA PFA Lease Revenue Center for the
Arts AMBAC Insured 6.00 09/01/18 2,003,760
1,410,000 Fairfield CA PFA CGIC Insured 5.20 08/01/08 1,363,949
3,000,000 Fontana CA USD Convertible Series C FGIC
Insured 5.95 F 05/01/20 2,716,800
700,000 Fontana CA USD Series B AMBAC Insured 5.40 07/01/08 698,509
1,800,000 Fresno CA Conference Center 5.00 04/01/13 1,651,860
1,000,000 Fresno CA COP Street Improvement Project 6.63 12/01/11 1,046,930
1,000,000 Fresno CA Sewer Revenue Series A MBIA Insured 5.00 09/01/15 905,780
2,000,000 Fresno CA USD Series A MBIA Insured 5.70 08/01/15 1,972,220
</TABLE>
43
<PAGE>
CALIFORNIA TAX-FREE BOND FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS - CONTINUED
$ 1,250,000 Fresno County CA Solid Waste Revenue American
Avenue Landfill Project MBIA Insured 5.75 % 05/15/14 $ 1,233,225
2,800,000 Huntington Beach CA PFA Revenue Bond 7.00 08/01/10 2,763,180
1,000,000 Indian Wells CA Redevelopment Agency Tax
Allocation MBIA Insured 5.38 12/01/15 942,900
500,000 Industry CA Urban Development Agency 6.70 11/01/03 534,495
1,080,000 Industry CA Urban Development Agency 6.85 11/01/04 1,155,114
500,000 Industry CA Urban Development Agency Project 3 6.60 11/01/02 534,160
1,000,000 Industry CA Urban Development Agency Tax
Allocation MBIA Insured 5.80 05/01/09 1,016,820
1,500,000 Inglewood CA COP Civic Center Improvement
Project PFA 7.00 08/01/19 1,551,180
475,000 Inglewood CA PFA Revenue Series C 7.00 05/01/22 489,910
1,000,000 Long Beach CA Finance Authority Revenue AMBAC
Insured 6.00 11/01/17 1,034,150
2,900,000 Los Angeles CA Airport Revenue Series A FGIC
Insured 5.50 05/15/08 2,905,568
1,000,000 Los Angeles CA Community College District COP
Series A CGIC Insured 6.00 08/15/08 1,040,220
4,000,000 Los Angeles CA DW&P Electric Plant Revenue 5.38 09/01/23 3,641,680
2,775,000 Los Angeles CA Harbor Revenue Series B AMT 6.50 08/01/13 2,868,101
110,000 Los Angeles CA SFMR Series A AMT Multiple
Credit Enhancements 7.55 12/01/23 113,513
6,250,000 Los Angeles CA Wastewater System Revenue Series
A 5.70 06/01/20 6,074,875
3,000,000 Los Angeles CA Wastewater System Revenue Series
D FGIC Insured 5.20 11/01/21 2,681,880
1,000,000 Los Angeles County CA Metro Transportation
Authority Sales Tax Revenue Series B AMBAC
Insured 4.75 07/01/18 851,250
</TABLE>
44
<PAGE>
CALIFORNIA TAX-FREE BOND FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS - CONTINUED
$ 4,000,000 Los Angeles County CA Metropolitan
Transportation Authority Sales Tax Revenue
Series A AMBAC Insured 5.50 % 07/01/17 $ 3,822,320
1,000,000 Los Angeles County CA Transportation Commission
Sales Tax Revenue Series B 5.75 07/01/18 960,170
480,000 Los Angeles County CA Transportation Commission
Sales Tax Revenue Series B FGIC Insured 6.50 07/01/15 498,211
1,000,000 Menlo Park CA CDA Tax Allocation Revenue MBIA
Insured 5.38 06/01/16 936,250
2,000,000 Mid Peninsula CA Regional Open Space District
Promissory Notes 7.00 09/01/14 2,127,960
1,000,000 Mountain View CA Shoreline Regional Park
Community Tax Allocation Series A 5.60 08/01/09 952,350
1,450,000 Nevada County CA Solid Waste Revenue 6.50 10/01/06 1,541,133
345,000 Nevada County CA Solid Waste Revenue 7.00 06/01/98 351,051
345,000 Nevada County CA Solid Waste Revenue 7.10 06/01/99 353,494
1,000,000 Nevada County CA Solid Waste Revenue 7.50 06/01/21 1,006,130
1,035,000 Northridge CA Water District AMBAC Insured 5.40 02/01/11 1,007,179
1,105,000 Northridge CA Water District Revenue AMBAC
Insured 5.25 02/01/18 1,021,606
1,000,000 Nuview CA USD COP 7.25 02/01/16 1,027,350
1,500,000 Ontario CA RDFA Revenue Project One MBIA
Insured 6.00 08/01/15 1,484,580
1,000,000 Orange County CA Water District Series A 5.50 08/15/10 965,970
1,000,000 Palm Springs CA Municipal Golf Course Expansion
Project 7.40 11/01/18 1,040,970
2,400,000 Pittsburg CA RDFA Tax Allocation Los Medanos
Community Project FGIC Insured 5.50 08/01/07 2,418,672
1,500,000 Pittsburg CA RDFA Tax Allocation Los Medanos
Community Project Series 90-1 7.40 08/15/20 1,566,885
</TABLE>
45
<PAGE>
CALIFORNIA TAX-FREE BOND FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS - CONTINUED
$ 1,000,000 Port of Oakland CA Special Facilities Revenue
Mitsui OSK Lines Limited Series A AMT LOC -
Industrial Bank of Japan Ltd 6.70 % 01/01/07 $ 1,052,460
1,000,000 Rancho Cucamonga CA RDFA Tax Allocation MBIA
Insured 5.50 09/01/23 937,130
1,100,000 Richmond CA Joint Powers Financing Authority
Lease and Gas Tax Revenue Series A 5.25 05/15/13 1,011,769
100,000 Richmond CA RDFA Tax Allocation Harbour Project
CGIC Insured 7.00 07/01/09 110,187
1,055,000 Riverside CA Sewer Revenue FGIC Insured 5.00 08/01/10 991,552
1,750,000 Riverside County CA Asset Leasing Corp Revenue
Riverside County Hospital Project A 6.38 06/01/09 1,797,583
3,000,000 Riverside County CA COP Series A 6.88 11/01/09 3,126,240
1,000,000 Riverside County CA PFA Special Tax Revenue
Series A MBIA Insured 5.25 09/01/13 943,540
340,000 Riverside County CA SFMR Project A AMT GNMA
Collateralized 6.85 10/01/16 363,168
1,370,000 Rosemead CA RDFA Tax Allocation Redevelopment
Project Area 1-A 5.50 10/01/18 1,230,397
1,335,000 Roseville CA Joint USD Capital Appreciation
Series A 6.30 F 08/01/06 761,991
1,900,000 Sacramento CA Light Rail Transportation Project 6.75 07/01/07 2,050,803
3,600,000 Sacramento CA MUD Electric Revenue Series E
MBIA-IBC Insured 5.70 05/15/12 3,572,928
500,000 Sacramento CA MUD Electric Revenue Series Z
FGIC Insured 6.45 07/01/10 526,345
3,000,000 Sacramento County Main Detention Facility MBIA
Insured 5.75 06/01/15 2,938,500
1,000,000 San Bernardino CA Municipal Water Department
COP FGIC Insured 6.25 02/01/12 1,019,720
2,000,000 San Buenaventura CA Capital Improvement Project
COP 6.85 08/01/16 2,038,480
</TABLE>
46
<PAGE>
CALIFORNIA TAX-FREE BOND FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS - CONTINUED
$ 230,000 San Carlos CA RDFA Tax Allocation Series A 7.00 % 09/01/01 $ 245,967
250,000 San Carlos CA RDFA Tax Allocation Series A 7.00 09/01/02 268,900
225,000 San Carlos CA RDFA Tax Allocation Series A 7.00 09/01/03 241,925
235,000 San Carlos CA RDFA Tax Allocation Series A 7.00 09/01/04 251,582
235,000 San Carlos CA RDFA Tax Allocation Series A 7.10 09/01/05 252,073
1,520,000 San Diego CA COP 6.90 07/15/16 1,616,003
6,500,000 San Diego CA PFA Sewer Revenue FGIC Insured 5.00 05/15/15 5,892,770
1,000,000 San Diego CA Regional Building Authority Lease
Revenue San Miguel Consolidated Fire Protection
District MBIA Insured 5.65 01/01/20 972,130
500,000 San Diego County CA Regional Transportation
Community Sales Tax Revenue Series A Escrowed
to Maturity 6.00 04/01/08 518,550
2,715,000 San Elijo Joint Powers Authority San Diego
County CA Water Pollution Control Facility FGIC
Insured 5.38 03/01/13 2,572,490
2,250,000 San Francisco CA BART Sales Tax Revenue FGIC
Insured 5.50 07/01/15 2,180,138
1,000,000 San Francisco CA RDA Tax Allocation MBIA
Insured 5.00 08/01/15 900,700
2,000,000 San Joaquin Hills CA Transportation Corridor
Agency Toll Road Revenue Capital Appreciation 6.06 F 01/01/10 1,493,020
2,500,000 San Jose CA RDA Tax Allocation MBIA Insured 5.00 08/01/20 2,206,500
1,395,000 San Jose RDFA Merged Area Project MBIA Insured 5.25 08/01/16 1,293,500
1,935,000 San Mateo County CA Board of Education COP 7.10 05/01/21 2,008,124
1,700,000 Santa Clara County CA COP Multiple Facilities
Project AMBAC Insured 6.00 05/15/12 1,717,884
</TABLE>
47
<PAGE>
CALIFORNIA TAX-FREE BOND FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS - CONTINUED
$ 100,000 Santa Clara County CA COP Public Facilities
Corp 7.75 % 11/01/08 $ 109,375
750,000 Santa Maria CA RDFA Town Center West Side
Parking Facilities FSA Insured 5.25 06/01/11 714,698
2,000,000 Santa Monica - Malibu CA USD Facilities
Reconstruction Projects 5.50 08/01/15 1,886,520
1,195,000 Santa Rosa CA High School District FGIC Insured 5.90 05/01/13 1,214,777
2,575,000 Santa Rosa CA Wastewater Revenue FGIC insured 4.90 09/01/11 2,361,867
1,000,000 Santa Rosa CA Wastewater Treatment Plant FGIC
Insured 4.75 09/01/16 857,780
1,530,000 Simi Valley CA USD FGIC Insured 4.75 08/01/18 1,310,705
1,500,000 Snowline CA Joint USD COP 6.40 07/01/18 1,463,550
520,000 Sonoma County CA COP 6.75 10/01/06 555,537
1,000,000 South County CA Regional Wastewater Authority
Revenue Capital Improvement FGIC Insured 5.75 08/01/10 1,007,690
1,000,000 Southern California State Public Power
Authority 5.50 07/01/12 955,700
1,450,000 Southern California State Public Power
Authority Transmission Revenue Project 5.75 07/01/21 1,397,902
935,000 Southern California State SFMR Series A AMT
GNMA Collateralized 7.63 10/01/22 959,852
525,000 Southern California State SFMR Series A AMT
GNMA Collateralized 7.63 10/01/23 547,129
660,000 Southern California State SFMR Series A AMT
GNMA/FNMA Collateralized 6.75 09/01/22 683,404
695,000 Southern California State SFMR Series A AMT
GNMA/FNMA Collateralized 7.35 09/01/24 717,164
2,720,000 Stanislaus County CA COP Capital Improvement
Project Series A MBIA Insured 5.00 05/01/10 2,545,784
20,000 Stockton CA SFMR Government Agency
Collateralized 7.50 02/01/23 21,075
</TABLE>
48
<PAGE>
CALIFORNIA TAX-FREE BOND FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS - CONTINUED
$ 265,000 Sulphur Springs CA USD COP AMBAC Insured 7.15 % 02/01/11 $ 282,466
5,690,000 Sulphur Springs CA USD Series A MBIA Insured 6.90 F 09/01/13 2,069,681
1,000,000 Sunnyvale CA Financing Authority Utilities
Revenue Solid Waste Materials Series B AMT MBIA
Insured 6.00 10/01/08 1,020,130
1,000,000 Temecula CA Community Services Recreational
Center Project 7.13 10/01/12 1,081,200
1,000,000 Temecula Valley CA USD Series D FGIC Insured 6.00 09/01/14 1,004,410
1,900,000 Torrance CA COP AMBAC Insured 5.50 04/01/12 1,856,357
1,705,000 Torrance CA COP AMBAC Insured 5.75 04/01/16 1,680,908
1,000,000 Twentynine Palms CA Water District CA COP 7.00 08/01/17 1,025,920
1,000,000 University of California Housing System Revenue
Series A MBIA Insured 5.00 11/01/13 910,930
3,000,000 University of California Revenue Multiple
Purpose Project C AMBAC Insured 5.25 09/01/11 2,871,930
2,300,000 University of California Revenue Multiple
Purpose Projects Series C AMBAC Insured 5.25 09/01/12 2,174,627
1,750,000 University of California Revenue Seismic Safety
Project MBIA Insured 5.50 11/01/10 1,728,878
990,000 Upland CA HFA Revenue Issue A 7.85 07/01/20 1,026,165
1,000,000 Vacaville CA PFA Tax Allocation Redevelopment
Project MBIA Insured 6.35 09/01/22 1,023,680
1,750,000 Walnut Creek CA John Muir Medical Center MBIA
Insured 5.00 02/15/16 1,545,626
1,135,000 Walnut Valley CA USD Series C FGIC Insured 5.75 08/01/15 1,119,292
</TABLE>
49
<PAGE>
CALIFORNIA TAX-FREE BOND FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CALIFORNIA MUNICIPAL BONDS - CONTINUED
$ 5,000,000 West & Central Basin CA Financing Authority
Series A AMBAC Insured 5.00 % 08/01/16 $ 4,435,800
1,000,000 Yolo County CA HFA Mortgage Revenue AMT FHA
Collateralized 7.20 08/01/33 1,051,860
------------
TOTAL CALIFORNIA MUNICIPAL BONDS $241,154,069
(Cost $238,662,549)
SHORT-TERM INSTRUMENTS - 3.39%
SHORT-TERM CALIFORNIA MUNICIPAL SECURITIES + - 2.99%
$ 900,000 California State HFFA Sutter Hospital V/R LOC -
Morgan Guaranty Trust 3.10 % 03/01/20 $ 900,000
1,000,000 Irvine Ranch CA Water District V/R LOC -
Commerzbank AG 3.30 01/01/21 1,000,000
1,500,000 Irvine Ranch CA Water District V/R LOC -
Sumitomo Bank Ltd 3.45 10/01/04 1,500,000
900,000 Los Angeles County CA IDA Komax System Inc V/R
AMT LOC - Dai-Ichi Kangyo Bank Ltd 4.20 12/01/06 900,000
1,350,000 Los Angeles County CA IDA V/R AMT LOC -
Dai-Ichi Kangyo Bank Ltd 4.20 12/01/06 1,350,000
900,000 Los Angeles County CA V/R 4.10 12/01/05 900,000
1,000,000 Orange County CA Sanitation District V/R LOC -
National Westminster Bank Plc 3.30 08/01/15 1,000,000
------------
$ 7,550,000
MONEY MARKET FUNDS - 0.40%
$ 909,364 Arbor Fund CA Tax-Exempt Portfolio $ 909,364
95,886 Nuveen Institutional CA Tax-Exempt Fund 95,886
------------
$ 1,005,250
TOTAL SHORT-TERM INSTRUMENTS $ 8,555,250
(Cost $8,555,250)
</TABLE>
50
<PAGE>
CALIFORNIA TAX-FREE BOND FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<C> <S> <C> <C> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
</TABLE>
<TABLE>
<C> <S> <C> <C>
(Cost $247,217,799)* (Notes 1 and 3) 98.94 % $249,709,319
Other Assets and Liabilities, Net 1.06 2,685,397
------- ------------
TOTAL NET ASSETS 100.00 % $252,394,716
------- ------------
------- ------------
..........................................................................................................
</TABLE>
F YIELD TO MATURITY.
+ THESE VARIABLE RATE SECURITIES ARE SUBJECT TO A DEMAND FEATURE WHICH
REDUCES THE REMAINING MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL
STATEMENT PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $ 5,972,668
Gross Unrealized Depreciation (3,481,148)
-------------
NET UNREALIZED APPRECIATION $ 2,491,520
-------------
-------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
51
<PAGE>
CALIFORNIA TAX-FREE MONEY MARKET FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
SHORT-TERM CALIFORNIA MUNICIPAL SECURITIES + - 103.05%
$ 2,400,000 ABAG Finance Authority for Nonprofit Corp CA
Lucile Salter Packard Project V/R AMBAC Insured 3.25 % 08/01/23 $ 2,400,000
3,000,000 Alameda County CA TRAN LOC - Union Bank of
Switzerland 4.75 07/25/96 3,001,538
1,700,000 Alhambra CA IDA Sunclipse V/R LOC - Bank of
America 3.25 05/01/07 1,700,000
3,000,000 Anaheim CA Public Improvement V/R COP LOC -
Industrial Bank of Japan Ltd 3.10 08/01/19 3,000,000
3,000,000 Brea & Olinda CA USD Brea High School
Prerefunded 7.70 08/01/18 3,069,525
2,000,000 California State PCR Pacific Gas & Electric V/R
AMT CP 3.35 08/15/96 2,000,000
3,000,000 California State PCR Pacific Gas & Electric V/R
CP 3.40 07/31/96 3,000,000
3,000,000 California State PCR Pacific Gas & Electric V/R
CP 3.30 08/08/96 3,000,000
4,500,000 California State Water Revenue CP 3.45 11/13/96 4,500,000
9,055,000 California State DWR Central Valley Project
Revenue V/R 3.40 12/01/05 9,055,000
5,500,000 California State HFA Home Mortgage Revenue 3.45 08/01/15 5,500,000
1,180,000 California State HFA Revenue Sutter Health
Systems Series B 8.00 01/01/16 1,231,177
2,600,000 California State HFFA Adventist Health System
V/R LOC - Toronto Dominion Bank 3.00 08/01/21 2,600,000
2,100,000 California State HFFA Catholic Healthcare
Series C V/R 3.00 07/01/20 2,100,000
4,900,000 California State HFFA Kaiser Permanente V/R 3.00 05/01/28 4,900,000
1,100,000 California State HFFA St Joseph's Health
Systems Series B V/R 3.00 07/01/09 1,100,000
965,000 California State PCFA Chevron Project V/R 4.07 11/15/01 965,000
</TABLE>
................................................................................
+ SECURITIES WITH MATURITIES IN EXCESS OF 397 DAYS ARE SUBJECT TO A DEMAND
FEATURE WHICH REDUCES THE REMAINING MATURITY.
52
<PAGE>
CALIFORNIA TAX-FREE MONEY MARKET FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
SHORT-TERM CALIFORNIA MUNICIPAL SECURITIES + - CONTINUED
$ 1,500,000 California State PCFA Pacific Gas & Electric
V/R Series F 3.40 % 11/01/26 $ 1,500,000
1,500,000 California State PCFA Shell Oil Co 3.00 10/01/08 1,500,000
5,000,000 California State PCFA Solid Waste Disposal
Revenue Colmac Energy Project Series B V/R AMT
LOC - Swiss Bank 3.30 12/01/16 5,000,000
1,000,000 California State PCFA Solid Waste Disposal
Revenue Taormina Industries Project Series B
V/R LOC - Sanwa Bank 3.65 08/01/14 1,000,000
600,000 California State PCFA Southern California
Edison V/R Series C 3.45 02/28/08 600,000
1,500,000 California State PCFA Southern California
Edison V/R Series D 3.45 02/28/08 1,500,000
4,000,000 California State PCFA V/R San Diego Gas &
Electric Co V/R Series A 3.95 12/01/07 4,000,000
1,000,000 California State PCFA Western Waste Industries
Project V/R LOC - Citibank 3.17 12/01/00 1,000,000
7,000,000 California State School Cash Reserve Program
Pool Series A MBIA Insured 4.75 07/03/96 7,000,348
11,000,000 California State School Cash Reserve Program
Pool Series B MBIA Insured 4.50 12/20/96 11,035,734
10,000,000 California State School Cash Reserve Projects
Authority Series A 4.75 07/02/97 10,086,400
2,500,000 California Statewide CDA Apartment Development
Revenue Series A-6 V/R FNMA Collateralized 3.25 05/15/25 2,500,000
5,000,000 California Statewide CDA Apartment Development
Revenue V/R Series A-4 FNMA Collateralized 3.25 05/15/05 5,000,000
500,000 California Statewide CDA Apartment Revenue
Series A-7 V/R AMT FNMA Collateralized 3.35 05/15/25 500,000
4,800,000 California Statewide CDA St Joseph Health
System V/R 3.00 07/01/08 4,800,000
</TABLE>
................................................................................
+ SECURITIES WITH MATURITIES IN EXCESS OF 397 DAYS ARE SUBJECT TO A DEMAND
FEATURE WHICH REDUCES THE REMAINING MATURITY.
53
<PAGE>
CALIFORNIA TAX-FREE MONEY MARKET FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
SHORT-TERM CALIFORNIA MUNICIPAL SECURITIES + - CONTINUED
$ 5,000,000 California Statewide CDA Sutter Health Group
V/R AMBAC Insured 3.17 % 07/01/15 $ 5,000,000
1,600,000 California Statwide CDA Industrial Revenue Tri
H Food Multiple LOC's 3.40 08/01/11 1,600,000
5,100,000 Colton CA RDFA Las Palomas Associates Project
V/R LOC - Bank of America 3.20 11/01/15 5,100,000
1,000,000 Colton CA RDFA MFHR V/R LOC - Federal Home Loan
Bank of San Francisco 3.15 05/01/10 1,000,000
1,100,000 Concord CA MFHR Bel Air Apartments V/R AMT LOC
-Bank of America 3.20 12/01/16 1,100,000
3,000,000 Contra Costa County CA TRAN 4.50 07/03/97 3,017,400
2,000,000 Duarte CA RDFA COP Johnson Duarte Partners
Project V/R Series B LOC - Bank of America 3.20 12/01/14 2,000,000
8,100,000 Eagle Trust V/R Series 94 MBIA Insured 3.39 09/01/03 8,100,000
2,400,000 East Bay CA MUD CP 3.60 07/24/96 2,400,000
4,400,000 Escondido CA CDA V/R AMT LOC - Bank of America 3.40 10/01/16 4,400,000
3,700,000 Escondido CA MFHR Morning View Terrace V/R LOC
-Bank of America 2.90 02/15/07 3,700,000
1,000,000 Foothill / Eastern CA Transportation Corridor
Agency Toll Road Revenue Series B V/R LOC -
Morgan Guaranty Trust 3.00 01/02/35 1,000,000
3,700,000 Huntington Beach CA MFHR Seabridge Villas V/R
LOC - Bank of America 4.00 02/01/10 3,700,000
3,330,000 Inglewood CA RDFA Tax Allocation Series B
Prerefunded 7.88 09/01/18 3,418,980
1,000,000 Irvine CA Development Revenue V/R 3.30 09/02/21 1,000,000
1,700,000 Irvine CA IDA Irvine East Investment Co V/R LOC
-Bank of America 3.20 12/01/05 1,700,000
2,000,000 Irvine Ranch CA Water District LOC - National
Westminster Bank Plc 3.30 08/01/16 2,000,000
</TABLE>
................................................................................
+ SECURITIES WITH MATURITIES IN EXCESS OF 397 DAYS ARE SUBJECT TO A DEMAND
FEATURE WHICH REDUCES THE REMAINING MATURITY.
54
<PAGE>
CALIFORNIA TAX-FREE MONEY MARKET FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
SHORT-TERM CALIFORNIA MUNICIPAL SECURITIES + - CONTINUED
$ 4,200,000 Irvine Ranch CA Water District V/R LOC -
Commerzbank AG 3.30 % 01/01/21 $ 4,200,000
1,000,000 Irvine Ranch CA Water District V/R LOC -
Dai-Ichi Kangyo Bank Ltd 3.50 09/02/20 1,000,000
1,300,000 Irvine Ranch CA Water District V/R LOC -
Sumitomo Bank Ltd 3.30 10/01/00 1,300,000
2,000,000 Irwindale CA IDA Revenue Toys R Us Project 3.42 12/01/19 2,000,000
6,800,000 Los Angeles County CA Metropolitan
Transportation Authority CP Multiple LOC's 3.35 07/01/96 6,800,000
2,000,000 Los Angeles County CA Metropolitan
Transportation Authority CP Multiple LOC's 3.55 08/14/96 2,000,000
3,500,000 Los Angeles CA Wastewater Revenue CP LOC -
Sumitomo Bank Ltd 3.65 08/08/96 3,500,000
6,500,000 Long Beach CA Health Facilities Memorial Health
Services V/R 3.00 10/01/16 6,500,000
3,000,000 Long Beach CA Harbor Revenue AMT CP LOC -
Canadian Imperial Bank of Commerce 3.55 10/09/96 3,000,000
1,900,000 Los Angeles CA MFHR Series B V/R AMT LOC -
Federal Home Loan Bank of San Francisco 3.75 12/01/26 1,900,000
2,600,000 Los Angeles CA MFHR V/R AMT LOC - Federal Home
Loan Bank of San Francisco 3.75 08/01/26 2,600,000
9,000,000 Los Angeles CA TRAN Series A 4.50 06/30/97 9,056,160
1,100,000 Los Angeles County CA HFA MFHR Harbor Cove
Project V/R LOC - Citibank 3.20 10/01/06 1,100,000
1,000,000 Los Angeles County CA HFA MFHR Sand Canyon
Ranch Project V/R LOC - Citibank 3.00 11/01/06 1,000,000
</TABLE>
................................................................................
+ SECURITIES WITH MATURITIES IN EXCESS OF 397 DAYS ARE SUBJECT TO A DEMAND
FEATURE WHICH REDUCES THE REMAINING MATURITY.
55
<PAGE>
CALIFORNIA TAX-FREE MONEY MARKET FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
SHORT-TERM CALIFORNIA MUNICIPAL SECURITIES + - CONTINUED
$ 3,000,000 Los Angeles County CA Metropolitan
Transportation Authority Sales Tax Revenue V/R
Series A 3.00 % 07/01/20 $ 3,000,000
5,000,000 Los Angeles County CA Transportation Authority
Revenue Union Station Gateway V/R Series A FSA
Insured 3.20 07/01/25 5,000,000
1,100,000 Los Angeles County CA Transportation Commission
Sales Tax Revenue V/R FGIC Insured 3.10 07/01/12 1,100,000
2,900,000 Montebello CA V/R LOC - Bank of America 3.25 04/01/05 2,900,000
1,500,000 Ontario CA MFHR Daisy Apartments V/R LOC - Bank
of America 2.90 11/01/04 1,500,000
6,000,000 Ontario CA MFHR Park Centre Apartments V/R LOC
-Bank of New York 2.90 08/01/07 6,000,000
2,100,000 Ontario CA MFHR Vineyard Village Apartments V/R
LOC - Industrial Bank of Japan Ltd 3.20 12/01/05 2,100,000
5,000,000 Orange County CA HFA Harbor Pointe Apartment
V/R Issue D LOC - Citibank 3.10 12/01/06 5,000,000
2,000,000 Orange County CA HFA Vintage Wood Apartments
V/R LOC - Mitsubishi Bank Ltd 3.00 11/01/08 2,000,000
1,500,000 Orange County CA Office & Courthouse Projects
V/R LOC - Dai-Ichi Kangyo Bank 3.50 12/01/15 1,500,000
2,000,000 Orange County CA Sanitation District Multiple
Credit Enhancments 3.00 08/01/13 2,000,000
1,500,000 Orange County CA Sanitation District V/R FGIC
Insured 3.40 08/01/17 1,500,000
3,000,000 Orange County CA Sanitation District V/R LOC -
National Westminster Bank Plc 3.30 08/01/15 3,000,000
3,100,000 Sacramento County CA TRAN 4.75 10/04/96 3,110,502
</TABLE>
................................................................................
+ SECURITIES WITH MATURITIES IN EXCESS OF 397 DAYS ARE SUBJECT TO A DEMAND
FEATURE WHICH REDUCES THE REMAINING MATURITY.
56
<PAGE>
CALIFORNIA TAX-FREE MONEY MARKET FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
SHORT-TERM CALIFORNIA MUNICIPAL SECURITIES + - CONTINUED
$ 1,000,000 Sacramento CA MUD Electric Development Revenue
Series R 7.13 % 02/01/13 $ 1,040,600
200,000 Sacramento County CA MFHR Series A V/R LOC -
Dai-Ichi Kangyo Bank Ltd 3.35 01/00/00 200,000
2,780,000 Salinas CA MFHR Brentwood Gardens V/R LOC -
Bank of America 2.90 03/01/05 2,780,000
5,000,000 San Bernardino CA Alta Loma Apartments V/R LOC
-Federal Home Loan Bank of Atlanta 3.20 02/01/23 5,000,000
2,185,000 San Bernardino County CA MFHR V/R LOC - Federal
Home Loan Bank of San Francisco 3.20 05/01/17 2,185,000
8,300,000 San Bernardino County CA TRAN Multiple LOC's 4.50 07/05/96 8,300,501
2,000,000 San Diego CA MFHR Los Serano V/R LOC - Citibank 2.90 02/01/09 2,000,000
5,000,000 San Diego CA MFHR Lusk Mira Mesa Apartments V/R
LOC - Bank of America 3.10 04/01/07 5,000,000
1,000,000 San Diego CA USD 4.75 10/10/96 1,003,539
2,700,000 San Diego County CA TRAN Multiple LOC's 4.50 09/30/96 2,708,049
3,600,000 San Francisco CA City & County V/R LOC -
Industrial Bank of Japan Ltd 3.40 12/01/05 3,600,000
1,600,000 San Francisco CA MFHR Winterland Project V/R
LOC - Citibank 3.00 06/01/06 1,600,000
1,740,000 San Francisco CA RDFA MFHR Rincon Center V/R
LOC - Citibank 3.00 12/01/06 1,740,000
1,300,000 San Jose CA MFHR Kimberly Woods Apartments V/R
LOC - Bank of America 2.90 11/01/08 1,300,000
200,000 Santa Clara CA Electric Revenue V/R Series 85A
LOC - National Westminster Bank Plc 3.20 07/01/10 200,000
</TABLE>
................................................................................
+ SECURITIES WITH MATURITIES IN EXCESS OF 397 DAYS ARE SUBJECT TO A DEMAND
FEATURE WHICH REDUCES THE REMAINING MATURITY.
57
<PAGE>
CALIFORNIA TAX-FREE MONEY MARKET FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
SHORT-TERM CALIFORNIA MUNICIPAL SECURITIES + - CONTINUED
$ 500,000 Santa Clara CA Electric Revenue V/R Series 85B
LOC - National Westminster Bank Plc 3.20 % 07/01/10 $ 500,000
1,500,000 Santa Clara County CA HFA Lincoln Pajaro
Apartments Series 85A LOC - Sumitomo Bank 3.40 01/01/97 1,500,000
1,000,000 Santa Clara County CA MFHR Foxchase Apartments
V/R Series E FGIC Insured 3.00 11/01/07 1,000,000
2,575,000 Santa Clara County CA MFHR Grove Garden
Apartments V/R LOC - Citibank 3.00 03/01/17 2,575,000
6,800,000 Simi Valley CA MFHR Lincoln Wood Ranch V/R LOC
-Sumitomo Bank 3.25 06/01/10 6,800,000
3,750,000 San Diego CA Local Government TRAN 4.75 10/18/96 3,765,005
3,000,000 Southern California State Public Power
Authority Hydroelectric Revenue Hoover Updating
Project Prerefunded 8.13 10/01/17 3,094,252
1,000,000 Southern California State Public Power
Authority Palo Verde Project Series B AMBAC
Insured 3.10 07/01/09 1,000,000
1,800,000 Southern California State Public Power
Authority Southern Transmission Project V/R LOC
-Swiss Bank 3.10 07/01/19 1,800,000
4,500,000 Southern California Waterworks Revenue Series A
AMBAC Insured 2.95 06/01/23 4,500,000
3,200,000 Stockton CA COP 1986 Water Facility Project
Prerefunded 7.50 08/01/16 3,209,787
2,100,000 Tracy CA MFHR Sycamore Village Apartments V/R
LOC - Bank of America 3.10 05/01/15 2,100,000
4,925,000 Turlock CA Irrigation District Revenue V/R
Series A LOC - Canadian Imperial Bank of
Commerce 3.10 01/01/14 4,925,000
1,000,000 Tustin CA Improvement Bond V/R 3.10 09/02/13 1,000,000
2,500,000 University of California Housing Revenue
Prerefunded 7.60 11/01/18 2,580,744
</TABLE>
................................................................................
+ SECURITIES WITH MATURITIES IN EXCESS OF 397 DAYS ARE SUBJECT TO A DEMAND
FEATURE WHICH REDUCES THE REMAINING MATURITY.
58
<PAGE>
CALIFORNIA TAX-FREE MONEY MARKET FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
SHORT-TERM CALIFORNIA MUNICIPAL SECURITIES + - CONTINUED
$ 1,000,000 Upland CA COP Police Building Construction
Project 8.20 % 08/01/16 $ 1,023,969
2,000,000 Vacaville CA MFHR Western Properties Sycamores
Project V/R LOC - Bank of America 3.10 04/01/05 2,000,000
2,600,000 Walnut Creek CA MFHR Creekside Drive Apartments
V/R LOC - Bank of America 3.10 04/01/07 2,600,000
1,800,000 West Riverside CA Regional Waterworks Authority
Revenue V/R 3.10 04/01/28 1,800,000
------------
TOTAL SHORT-TERM CALIFORNIA MUNICIPAL SECURITIES $332,479,210
TOTAL INVESTMENTS IN SECURITIES
</TABLE>
<TABLE>
<C> <S> <C> <C>
(Cost $332,479,210)* (Note 1) 103.05 % $332,479,210
Other Assets and Liabilities, Net (3.05 ) (9,853,357)
------- ------------
TOTAL NET ASSETS 100.00 % $322,625,853
------- ------------
------- ------------
..........................................................................................................
</TABLE>
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL
STATEMENT PURPOSES.
+ SECURITIES WITH MATURITIES IN EXCESS OF 397 DAYS ARE SUBJECT TO A
DEMAND FEATURE WHICH REDUCES THE REMAINING MATURITY.
The accompanying notes are an integral part of these financial statements.
59
<PAGE>
MONEY MARKET FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
YIELD TO MATURITY
PRINCIPAL SECURITY NAME MATURITY DATE VALUE
<C> <S> <C> <C> <C> <C>
COMMERCIAL PAPER - 69.79%
$ 25,000,000 Abbey National North America 5.30 % 08/09/96 24,856,458
25,000,000 ABN Amro North American Finance Corp Inc 5.27 09/03/96 24,765,778
20,000,000 American Express Credit Corp 5.28 08/21/96 19,850,400
35,000,000 Asset Securitization Cooperative Corp++ 5.42 08/22/96 34,725,989
30,000,000 Bank of Nova Scotia 5.29 08/01/96 29,863,342
30,000,000 Canadian Imperial Holdings Inc 5.28 07/30/96 29,872,400
40,000,000 Ciesco LP++ 5.32 07/10/96 39,946,900
30,000,000 CIT Group Holdings Inc 5.33 08/28/96 29,742,383
20,000,000 Daimler-Benz North America Corp 5.28 07/31/96 19,912,000
25,000,000 Den Danske Co Inc 5.29 08/30/96 24,779,583
35,000,000 Electronic Data Systems Corp 5.32 08/29/96 34,694,839
30,525,000 Falcon Asset Securitization Corp++ 5.33 07/11/96 30,479,806
20,000,000 Ford Motor Credit Corp 5.28 07/24/96 19,932,533
42,500,000 General Electric Capital Corp 5.32 07/08/96 42,456,036
40,000,000 Glaxo Wellcome Plc++ 5.40 09/16/96 39,538,428
35,000,000 Greenwich Funding Corp++ 5.28 08/19/96 34,748,467
42,500,000 Morgan (J P) & Co 5.27 07/03/96 42,487,557
40,000,000 National Rural Utilities Cooperative Finance
Corp 5.28 07/18/96 39,900,267
32,500,000 New Center Asset Funding Corp 5.28 08/21/96 32,256,900
15,000,000 Societe Generale 5.05 07/22/96 14,955,813
17,500,000 Transamerica Finance Corp 5.28 07/22/96 17,446,100
22,500,000 Transamerica Finance Corp 5.30 08/07/96 22,377,438
15,000,000 Walt Disney Co Inc++ 5.20 07/16/96 14,967,500
30,000,000 WCP Funding Corp++ 5.38 08/14/96 29,802,917
------------
TOTAL COMMERCIAL PAPER $694,359,834
SHORT TERM FEDERAL AGENCIES - 5.02%
$ 50,000,000 Federal Home Loan Mortgage Corp 5.27 % 07/15/96 $ 49,897,528
</TABLE>
60
<PAGE>
MONEY MARKET FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
VARIABLE AND FLOATING RATE BONDS - 16.68%
$ 30,000,000 Beta Finance Corp++ 5.43 % 01/27/97 $ 29,988,000
21,000,000 Chemical Banking Corp 5.69 08/19/96 21,005,884
20,000,000 Comerica Inc 5.44 08/12/96 19,997,693
20,000,000 FCC National Bank 5.27 10/31/96 19,990,356
25,000,000 Household Finance Corp 5.45 05/27/97 25,000,000
40,000,000 PNC Funding Corp 5.40 05/15/97 39,970,432
10,000,000 Wachovia Corp 5.36 04/25/97 9,990,018
------------
TOTAL VARIABLE AND FLOATING RATE BONDS $165,942,383
U.S. TREASURY BILLS - 7.77%
$ 50,000,000 U.S. Treasury Bills 5.46 %F 02/06/97 $ 48,533,715
30,000,000 U.S. Treasury Bills 5.53 F 04/03/97 28,806,223
------------
TOTAL U.S. TREASURY BILLS $ 77,339,938
REPURCHASE AGREEMENTS - 1.15%
$ 11,438,000 Goldman Sachs Pooled Repurchase Agreement -
102% Collateralized by U.S. Government
Securities 5.30 % 07/03/96 $ 11,438,000
TOTAL INVESTMENTS IN SECURITIES
</TABLE>
<TABLE>
<C> <S> <C> <C>
(Cost $998,977,683)* (Note 1) 100.41 % $998,977,683
Other Assets and Liabilities, Net (0.41 ) (4,049,426)
------- ------------
TOTAL NET ASSETS 100.00 % $994,928,257
------- ------------
------- ------------
..........................................................................................................
</TABLE>
F YIELD TO MATURITY.
++ THESE SECURITIES ARE NOT REGISTERED UNDER THE SECURITIES ACT OF 1933.
RULE 144A UNDER THAT ACT PERMITS THESE SECURITIES TO BE RESOLD IN
TRANSACTIONS EXEMPT FROM REGISTRATION TO QUALIFIED INSTITUTIONAL
BUYERS. THESE SECURITIES WERE DEEMED LIQUID BY THE INVESTMENT ADVISER
IN ACCORDANCE WITH PROCEDURES APPROVED BY THE FUND'S BOARD OF
DIRECTORS.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL
STATEMENT PURPOSES.
The accompanying notes are an integral part of these financial statements.
61
<PAGE>
MUNICIPAL INCOME FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
MUNICIPAL BONDS - 96.60%
ALABAMA - 0.27%
$ 160,000 Alabama State SFMR Series B AMT GNMA
Collateralized 7.40 % 04/01/22 $ 166,541
ALASKA - 0.93%
565,000 Alaska State Housing Finance Corporation Second
Series AMT Government Agency Collateralized 7.10 06/01/22 584,905
CALIFORNIA - 24.34%
145,000 California State HFA Insured Housing Revenue
AMT Series C MBIA Insured 7.00 08/01/23 150,403
2,000,000 Contra Costa County CA Mortgage Revenue Cedar
Point Apartments Project A FHA Collateralized 6.15 09/01/25 2,015,860
110,000 Riverside County CA SFMR Project A AMT GNMA
Collateralized 6.85 10/01/16 117,495
9,750,000 Riverside County CA SFMR Series B AMT Escrowed
to Maturity 8.35 06/01/13 12,150,450
830,000 Southern California State SFMR Project B AMT
GNMA/FNMA Collateralized 6.90 10/01/24 865,242
DISTRICT OF COLUMBIA - 0.53%
320,000 District of Columbia SFMR AMT GNMA
Collateralized 7.10 12/01/24 333,763
FLORIDA - 0.45%
270,000 Brevard County FL HFA SFMR Refunded Series B
FSA Insured 7.00 03/01/13 282,266
HAWAII - 6.88%
725,000 Hawaii State Airports Systems Revenue AMT FGIC
Insured 7.00 07/01/20 783,732
500,000 Hawaii State Harbor Capital Improvement Revenue
AMT MBIA Insured 7.00 07/01/17 536,480
3,000,000 Hawaii State SFMR AMT MBIA Insured 6.00 07/01/26 3,001,410
IDAHO - 2.39%
1,500,000 Idaho State HFA SFMR Series C-2 AMT 6.35 07/01/15 1,504,215
</TABLE>
62
<PAGE>
MUNICIPAL INCOME FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
MUNICIPAL BONDS - CONTINUED
ILLINOIS - 5.56%
$ 500,000 Chicago IL O'Hare International Airport Special
Facilities Revenue AMT LOC - Bayerische
Landesbank 7.13 % 05/01/18 $ 538,660
1,900,000 Chicago IL O'Hare International Airport Special
Facilities Revenue AMT MBIA Insured 6.75 01/01/18 2,004,880
1,000,000 Saint Claire County IL GO AMT FGIC Insured 5.75 10/01/23 952,450
INDIANA - 3.98%
2,500,000 Indiana State HFA Series A-2 AMT GNMA/FNMA
Collateralized 6.45 07/01/14 2,499,575
IOWA - 3.62%
1,435,000 Iowa State HFA SFMR Series B AMT GNMA/FNMA
Collateralized 6.95 07/01/24 1,492,931
420,000 Iowa State HFA SFMR Series B AMT GNMA/FNMA
Collateralized 7.45 07/01/23 435,834
365,000 Iowa State HFA SFMR Series B AMT Government
Agency Collateralized 5.95 07/01/23 348,517
KANSAS - 0.29%
175,000 Kansas City KS Mortgage Revenue AMT GNMA
Collateralized 7.35 12/01/23 183,745
KENTUCKY - 5.17%
1,100,000 Kenton County KY Cincinnati/Northern Kentucky
International Airport Revenue AMT FSA Insured 6.30 03/01/15 1,125,322
925,000 Kentucky State HFA MFHR AMT Multiple Credit
Enhancements 5.90 01/01/15 899,331
1,200,000 Kentucky State HFA MFHR Series D AMT FHA
Collateralized 7.45 01/01/23 1,227,780
LOUISIANA - 2.66%
1,000,000 Louisiana State MFHR AMT FHA Collateralized 5.90 12/01/18 967,240
</TABLE>
63
<PAGE>
MUNICIPAL INCOME FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
MUNICIPAL BONDS - CONTINUED
LOUISIANA - CONTINUED
$ 670,000 Louisiana State Public Facilities Authority
Student Loan Revenue AMT FSA Insured 6.85 % 01/01/09 $ 703,540
MASSACHUSETTS - 5.58%
1,000,000 Massachusetts State HFA Residential Development
FNMA Collateralized 6.90 11/15/21 1,055,110
2,500,000 Massachusetts State HFA Revenue Series A AMT
FSA Insured 6.10 06/01/26 2,453,050
MINNESOTA - 0.74%
445,000 Minneapolis-St Paul MN Housing Finance Board
Revenue SFMR Phase IX AMT GNMA Collateralized 7.30 08/01/31 462,003
NEVADA - 9.08%
1,035,000 Nevada State SFMR Series A-2 AMT FHA
Collateralized 6.55 10/01/15 1,058,753
1,825,000 Nevada State SFMR Series C AMT FHA
Collateralized 6.35 10/01/13 1,852,904
2,700,000 Washoe County NV Gas Facilities Sierra Pacific
Power AMT MBIA Insured 6.55 09/01/20 2,795,202
NEW JERSEY - 2.07%
1,250,000 New Jersey State MFHR FHA Collateralized 7.00 05/01/30 1,299,675
NEW YORK - 0.84%
500,000 New York State Energy R & D Authority Electric
Facilities Revenue Cons Edison Co New York City
AMT MBIA Insured 7.25 11/01/24 528,050
OKLAHOMA - 2.18%
200,000 Pryor Creek OK Economic Development Authority
Mortgage Revenue Series A FNMA Collateralized 7.13 07/01/21 207,340
610,000 Tulsa County OK HFA Mortgage Revenue Series B
Remarket AMT GNMA Collateralized 7.10 06/01/22 637,334
</TABLE>
64
<PAGE>
MUNICIPAL INCOME FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
MUNICIPAL BONDS - CONTINUED
OKLAHOMA - CONTINUED
$ 500,000 Tulsa County OK HFA Mortgage Revenue Series B
Remarket AMT GNMA Collateralized 7.55 % 05/01/23 $ 526,955
PENNSYLVANIA - 2.32%
990,000 Allegheny County PA Residential FA SFMR AMT
GNMA/FNMA Collateralized 5.63 11/01/23 929,006
500,000 Pennsylvania State Higher EDFA Student Loan
Revenue Series D AMT AMBAC Insured 7.05 10/01/16 532,370
TEXAS - 0.78%
465,000 Travis County TX HFC Residential Mortgage
Revenue Series A GNMA/FNMA Collateralized 7.00 12/01/11 490,394
UTAH - 7.05%
500,000 Utah State Board of Regents Student Loan
Revenue Series F AMT AMBAC Insured 7.45 11/01/08 531,535
1,100,000 Utah State Board of Regents Student Loan
Revenue Series H AMT AMBAC Insured 6.70 11/01/15 1,128,160
2,000,000 Utah State HFA SFMR Series B-2 AMT FHA
Collateralized 6.50 07/01/15 2,016,180
750,000 Utah State HFA SFMR Series D-2 AMT FHA
Collateralized 6.45 01/01/11 756,660
WASHINGTON - 4.47%
1,310,000 Washington State SFMR Series D AMT GNMA/FNMA
Collateralized 6.15 01/01/26 1,319,222
1,440,000 Washington State SFMR Series D AMT GNMA/FNMA
Collateralized 7.10 07/01/22 1,491,582
WEST VIRGINIA - 4.42%
3,000,000 West Virginia State Housing Revenue AMT AMBAC
Insured 5.70 05/01/24 2,779,530
------------
TOTAL MUNICIPAL BONDS $ 60,723,582
(Cost $59,387,384)
</TABLE>
65
<PAGE>
MUNICIPAL INCOME FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
SHORT-TERM INSTRUMENTS - 2.39%
MONEY MARKET FUNDS - 1.91%
$ 1,200,462 National Municipal Fund $ 1,200,462
ALABAMA+ - 0.48%
300,000 Phenix City AL IDA Environmental Improvement
Mead Coates Project Series A V/R AMT LOC -
Toronto Dominion Bank 3.75 % 06/01/28 300,000
------------
TOTAL SHORT-TERM INSTRUMENTS $ 1,500,462
(Cost $1,500,462)
TOTAL INVESTMENTS IN SECURITIES
</TABLE>
<TABLE>
<C> <S> <C> <C>
(Cost $60,887,846)* (Notes 1 and 3) 98.99 % $ 62,224,044
Other Assets and Liabilities, Net 1.01 635,410
------- ------------
TOTAL NET ASSETS 100.00 % $ 62,859,454
------- ------------
------- ------------
..........................................................................................................
</TABLE>
+ THESE VARIABLE RATE SECURITIES ARE SUBJECT TO A DEMAND FEATURE WHICH
REDUCES THE REMAINING MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL
STATEMENT PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $ 1,790,102
Gross Unrealized Depreciation (453,904)
-----------
NET UNREALIZED APPRECIATION $ 1,336,198
-----------
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
66
<PAGE>
MASTER INVESTMENT TRUST - CAPITAL APPRECIATION MASTER PORTFOLIO -
JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - 90.48%
ADVERTISING - 1.01%
67,500 HA-LO Industries inc+ $ 940,000 $ 1,755,000
BASIC INDUSTRIES - 1.57%
40,000 Gibraltar Steel Corp+ $ 720,000 $ 810,000
65,000 Olympic Steel Inc+ 1,439,981 1,811,875
95,000 Quadrax Corp+ 252,997 112,813
------------ ------------
$ 2,412,978 $ 2,734,688
BIOTECHNOLOGY - 4.15%
40,000 Aksys Ltd+ $ 660,000 $ 610,000
5,000 Arterial Vascular Engineering Inc+ 157,500 181,250
58,000 Cardiovascular Dynamics Inc+ 698,639 710,500
40,000 General Surgical Innovations Inc+ 795,000 610,000
45,000 Genzyme Corp - General Division+ 2,406,188 2,261,250
45,000 Genzyme Corp - Tissue Repair+ 680,834 528,750
17,000 Innovasive Devices Inc+ 211,250 170,000
45,000 Liposome Co Inc+ 613,603 843,750
20,000 Neurex Corp+ 390,750 437,500
60,000 Palomar Medical Tech Inc+ 690,970 855,000
------------ ------------
$ 7,304,734 $ 7,208,000
COMMERCIAL SERVICES - 2.18%
15,000 Affiliated Computer Services Inc Class A+ $ 720,000 $ 705,000
45,000 AMRE Inc+ 832,690 984,375
55,000 Career Horizons Inc+ 1,391,967 1,925,000
5,000 Caribiner International Inc+ 126,650 160,625
31,000 Work Recovery Inc+ 135,313 8,680
------------ ------------
$ 3,206,620 $ 3,783,680
COMPUTER SOFTWARE - 16.06%
25,000 Atria Software Inc+ $ 1,389,375 $ 1,250,000
40,000 First Data Corp 2,655,525 3,185,000
33,500 IKOS Systems Inc+ 279,786 707,688
</TABLE>
67
<PAGE>
MASTER INVESTMENT TRUST - CAPITAL APPRECIATION MASTER PORTFOLIO -
JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - CONTINUED
COMPUTER SOFTWARE - CONTINUED
20,000 Imnet Systems Inc+ $ 364,750 $ 610,000
35,000 Inference Corp Class A+ 846,000 840,000
45,000 Integrated Systems Inc+ 1,613,125 1,802,813
50,000 LifeRate Systems Inc+ 425,417 381,250
19,000 Microsoft Corp+ 1,415,890 2,282,375
30,000 NETCOM On-Line Communication Services Inc+ 834,688 810,000
94,500 Oracle Systems Corp+ 2,994,318 3,726,844
50,000 Premenos Tech Corp+ 1,061,959 912,500
30,000 Pure Software Inc+ 1,001,000 1,020,000
45,000 Summit Medical System Inc+ 1,070,938 877,500
30,000 Synopsys Inc+ 983,625 1,192,500
39,000 Technomax Technologies Limited+ 868,759 741,000
20,000 Transition Systems Inc+ 470,000 570,000
45,000 Veritas Software Corp+ 1,200,250 1,935,000
37,000 Verity Inc+ 1,123,545 1,063,750
40,000 VideoServer Inc+ 1,485,140 1,560,000
40,500 Workgroup Technology Corp+ 860,004 1,017,563
30,000 Xylan Corp+ 1,551,060 1,395,000
------------ ------------
$ 24,495,154 $ 27,880,783
COMPUTER SYSTEMS - 8.23%
58,000 Adaptec Inc+ $ 1,902,908 $ 2,747,750
62,000 Cisco Systems Inc+ 1,770,188 3,510,750
172,000 Komag Inc+ 4,262,572 4,536,500
75,000 Silicon Storage Technology Inc+ 1,287,100 1,031,250
65,000 Solectron Corp+ 2,505,725 2,461,875
------------ ------------
$ 11,728,493 $ 14,288,125
ELECTRICAL EQUIPMENT - 4.04%
24,000 Affinity Technology Group+ $ 374,500 $ 204,000
23,800 BMC Industries Inc 691,736 684,250
65,000 Interlink Electronics Inc+ 344,375 430,625
50,000 Irvine Sensors Corp+ 317,644 237,500
</TABLE>
68
<PAGE>
MASTER INVESTMENT TRUST - CAPITAL APPRECIATION MASTER PORTFOLIO -
JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - CONTINUED
ELECTRICAL EQUIPMENT - CONTINUED
45,000 Macromedia Inc+ $ 1,732,113 $ 984,375
60,000 Power (R F) Products Inc+ 404,163 378,750
12,000 Stratacom Inc+ 436,875 675,000
40,000 U.S. Robotics Corp 2,962,833 3,420,000
------------ ------------
$ 7,264,239 $ 7,014,500
ENERGY & RELATED - 5.86%
30,000 Ashland Inc $ 1,251,570 $ 1,188,750
28,200 Camco International Inc 703,960 955,275
65,000 Digicon Inc+ 534,954 1,088,750
50,000 Ensco International Inc+ 1,288,787 1,625,000
35,500 Global Industries Ltd+ 489,475 1,056,125
32,400 J Ray McDermott SA+ 700,762 810,000
20,000 Kelley Oil & Gas Corp+ 48,750 80,000
40,000 Reading & Bates Corp+ 934,450 885,000
40,000 Sonat Offshore Drilling Co 1,923,476 2,020,000
15,000 Sun Co Inc 469,950 455,625
------------ ------------
$ 8,346,134 $ 10,164,525
ENTERTAINMENT & LEISURE - 5.27%
20,000 Circus Circus Entertainment Inc+ $ 849,813 $ 820,000
40,000 Family Golf Centers Inc+ 600,000 1,005,000
25,000 HFS Inc+ 1,557,050 1,750,000
45,000 Mikohn Gaming Corp+ 417,656 399,375
25,000 Mirage Resorts Inc+ 815,110 1,350,000
64,000 Platinum Entertainment Inc+ 823,125 992,000
50,000 Regal Cinemas Inc+ 2,347,480 2,287,500
90,000 Stratosphere Corp+ 766,117 540,000
------------ ------------
$ 8,176,351 $ 9,143,875
ENVIRONMENTAL CONTROL - 1.75%
60,000 Allied Waste Industries Inc+ $ 604,675 $ 532,500
</TABLE>
69
<PAGE>
MASTER INVESTMENT TRUST - CAPITAL APPRECIATION MASTER PORTFOLIO -
JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - CONTINUED
ENVIRONMENTAL CONTROL - CONTINUED
55,000 Molten Metal Technology Inc+ $ 1,248,970 $ 1,622,500
30,000 U.S.A. Waste Services Inc+ 597,090 888,750
------------ ------------
$ 2,450,735 $ 3,043,750
FINANCE & RELATED - 6.12%
100,000 Capital One Financial Corp $ 2,838,382 $ 2,850,000
52,500 Dignity Partners Inc+ 632,856 485,625
80,000 Envoy Corp (New)+ 624,221 2,340,000
10,500 IMC Mortgage Co+ 189,000 236,250
46,300 Medallion Financial Corp+ 556,573 578,750
20,000 NHP Inc+ 252,500 412,500
40,000 RISCORP Inc Class A+ 863,646 730,000
40,000 Student Loan Marketing Assoc 3,109,712 3,000,000
------------ ------------
$ 9,066,890 $ 10,633,125
FOOD & RELATED - 1.32%
27,500 Garden Fresh Restaurant Corp+ $ 224,469 $ 299,063
39,000 NuCo2 Inc+ 558,925 1,199,250
30,000 Whole Foods Market Inc+ 566,125 795,000
------------ ------------
$ 1,349,519 $ 2,293,313
HEALTHCARE - 6.60%
24,500 Diagnostic Health Services Inc+ $ 165,375 $ 165,375
110,000 Genesis Health Ventures Inc+ 2,489,892 3,451,250
100,000 Healthsouth Corp+ 2,694,149 3,600,000
250 Medcath Inc 5,031 3,000
90,000 Renal Treatment Centers+ 1,248,250 2,587,500
50,000 Vivra Inc+ 1,519,094 1,643,750
------------ ------------
$ 8,121,791 $ 11,450,875
</TABLE>
70
<PAGE>
MASTER INVESTMENT TRUST - CAPITAL APPRECIATION MASTER PORTFOLIO -
JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - CONTINUED
MANUFACTURING PROCESSING - 0.86%
46,400 Intertape Polymer Group Inc+ $ 826,150 $ 939,600
25,000 Lydall Inc+ 371,040 550,000
------------ ------------
$ 1,197,190 $ 1,489,600
MATERIAL MANUFACTURING - 0.55%
50,000 Landec Corp+ $ 675,563 $ 950,000
MEDICAL EQUIPMENT & SUPPLIES - 2.83%
50,000 Bioject Medical Technologies+ $ 229,063 $ 70,313
85,000 Endosonics Corp+ 935,206 1,519,375
37,000 Iridex Corp+ 380,500 555,000
27,500 Life Med Sciences Inc+ 214,688 240,625
10,500 Molecular Devices Corp+ 129,375 93,188
25,000 NeoPath Inc+ 590,312 631,250
65,000 Ultrafem Inc+ 847,000 1,283,750
38,000 Urologix Inc+ 576,034 513,000
------------ ------------
$ 3,902,178 $ 4,906,501
PHARMACEUTICALS - 1.88%
62,500 Anesta Corp+ $ 883,604 $ 765,625
135,000 Aronex Pharmaceutical Inc 805,034 708,750
20,000 Collagenex Pharmaceutical Inc+ 200,000 175,000
75,000 Matrix Pharmaceuticals Inc+ 1,785,035 1,350,000
60,000 Seragen Inc+ 414,940 262,500
------------ ------------
$ 4,088,613 $ 3,261,875
PUBLISHING & MEDIA - 0.64%
55,000 Mecklermedia Corp+ $ 1,084,375 $ 1,113,750
RETAIL & RELATED - 2.03%
35,000 Corporate Express Inc+ $ 855,000 $ 1,400,000
4,500 Cost Plus Inc+ 67,500 124,875
10,000 Mail Boxes Etc+ 176,250 228,750
</TABLE>
71
<PAGE>
MASTER INVESTMENT TRUST - CAPITAL APPRECIATION MASTER PORTFOLIO -
JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - CONTINUED
RETAIL & RELATED - CONTINUED
35,000 Reebok International Ltd $ 1,146,525 $ 1,176,875
50,000 Spiegel Inc Class A 512,188 593,750
------------ ------------
$ 2,757,463 $ 3,524,250
SEMICONDUCTORS - 2.73%
18,000 Intel Corp $ 904,125 $ 1,321,875
45,000 LSI Logic Corp+ 1,601,378 1,170,000
40,000 MEMC Electronic Materials Inc+ 2,032,169 1,550,000
35,000 OnTrak Systems Inc+ 809,729 568,750
15,000 Semtech Corp+ 390,000 135,000
------------ ------------
$ 5,737,401 $ 4,745,625
TELECOMMUNICATIONS - 11.80%
65,000 Accom Inc+ $ 552,594 $ 260,000
41,000 Cascade Communications Corp+ 1,566,813 2,788,000
35,000 Charter Communication International Inc+ 298,750 214,375
10,000 Clear Channel Communications Inc+ 840,000 823,750
65,000 ECI Telecommunications Ltd 1,724,001 1,511,250
32,500 EIS International Inc+ 790,178 828,750
58,000 Farallon Communications+ 942,525 855,500
30,000 Intermedia Communications Inc+ 879,688 967,500
110,000 LCI International Inc+ 1,227,724 3,451,250
7,000 McLeod Inc+ 140,000 168,000
60,000 Medaphis Corp+ 2,506,659 2,385,000
48,000 NEXTEL Communications Class A+ 1,002,938 915,000
15,000 Pagemart Wireless Inc Class A+ 195,000 150,000
36,000 PanAmSat Corp+ 567,536 1,044,000
30,000 Qualcomm Inc+ 1,540,875 1,593,750
37,500 TresCom International Inc+ 498,750 375,000
25,000 Whittman Hart Inc+ 696,375 900,000
50,000 Winstar Communications Inc+ 1,567,861 1,246,871
------------ ------------
$ 17,538,267 $ 20,477,996
</TABLE>
72
<PAGE>
MASTER INVESTMENT TRUST - CAPITAL APPRECIATION MASTER PORTFOLIO -
JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES SECURITY NAME COST VALUE
<C> <S> <C> <C> <C> <C>
COMMON STOCKS - CONTINUED
TRANSPORTATION - 3.00%
40,000 Atlas Air Inc+ $ 2,038,828 $ 2,300,000
20,000 Greenbrier Companies Inc 307,323 277,500
40,000 Landair Services Inc+ 666,866 630,000
75,000 Mesa Airlines Inc+ 1,076,025 890,625
50,000 Trico Marine Services Inc+ 1,056,570 1,112,500
------------ ------------
$ 5,145,612 $ 5,210,625
TOTAL COMMON STOCKS $136,990,300 $157,074,461
WARRANTS - 1.71%
75,000 Intel Corp expires 03/14/1998+ $ 2,718,750
3,000 Interlink Electronics Inc expires 06/07/1996+ 94
100,000 Viacom Inc Class E expires 07/07/1999+ 243,750
------------
TOTAL WARRANTS $ 2,962,594
(Cost $2,213,334)
</TABLE>
73
<PAGE>
MASTER INVESTMENT TRUST - CAPITAL APPRECIATION MASTER PORTFOLIO -
JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
CORPORATE BONDS & NOTES - 0.46%
CONVERTIBLE CORPORATE BONDS - 0.46%
$ 240,000 First Financial Management Corp 5.00 % 12/15/99 $ 447,000
100,000 Genesis Health Ventures Inc 6.00 11/30/03 198,875
100,000 LDDS Communications Inc 5.00 08/15/03 146,000
------------
TOTAL CORPORATE BONDS & NOTES $ 791,875
(Cost $416,926)
SHORT-TERM INSTRUMENTS - 8.30%
U.S. TREASURY BILLS - 3.99%
$ 7,000,000 U.S. Treasury Bills 5.18 %F 09/19/96 $ 6,921,320
REPURCHASE AGREEMENTS - 4.31%
$ 7,488,000 Goldman Sachs Pooled Repurchase Agreement -
102% Collateralized by U.S. Government
Securities 5.30 % 07/03/96 $ 7,488,000
TOTAL SHORT-TERM INSTRUMENTS $ 14,409,320
(Cost $14,409,456)
TOTAL INVESTMENTS IN SECURITIES
</TABLE>
<TABLE>
<C> <S> <C> <C>
(Cost $154,030,016)* (Notes 1 and 3) 100.95 % $175,238,250
Other Assets and Liabilities, Net (0.95 ) (1,646,777)
------- ------------
TOTAL NET ASSETS 100.00 % $173,591,473
------- ------------
------- ------------
..........................................................................................................
</TABLE>
+ NON-INCOME EARNING SECURITIES.
F YIELD TO MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL
STATEMENT PURPOSES AND NET UNREALIZED APPRECIATION CONSISTS OF:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $ 31,676,710
Gross Unrealized Depreciation (10,468,476)
-------------
NET UNREALIZED APPRECIATION $ 21,208,234
-------------
-------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
74
<PAGE>
MASTER INVESTMENT TRUST SHORT-TERM GOVERNMENT-CORPORATE INCOME MASTER
PORTFOLIO - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
U.S. TREASURY SECURITIES - 95.04%
U.S. TREASURY NOTES - 95.04%
$ 7,000,000 U.S. Treasury Notes 5.63 % 06/30/97 $ 6,989,080
2,500,000 U.S. Treasury Notes 5.75 09/30/97 2,495,300
4,500,000 U.S. Treasury Notes 6.13 05/31/97 4,514,040
3,500,000 U.S. Treasury Notes 6.13 03/31/98 3,502,730
------------
TOTAL U.S. TREASURY SECURITIES $ 17,501,150
(Cost $17,567,332)
SHORT-TERM INSTRUMENTS - 3.68%
SHORT TERM FEDERAL AGENCIES - 2.71%
$ 500,000 Federal Home Loan Mortgage Corp 5.27 %F 07/15/96 $ 498,902
REPURCHASE AGREEMENTS - 0.97%
$ 179,000 Goldman Sachs Pooled Repurchase Agreement -
102% Collateralized by U.S. Government
Securities 5.30 % 07/03/96 $ 179,000
TOTAL SHORT-TERM INSTRUMENTS $ 677,902
(Cost $677,975)
TOTAL INVESTMENTS IN SECURITIES
</TABLE>
<TABLE>
<C> <S> <C> <C>
(Cost $18,245,307)* (Notes 1 and 3) 98.72 % $ 18,179,052
Other Assets and Liabilities, Net 1.28 236,246
------- ------------
TOTAL NET ASSETS 100.00 % $ 18,415,298
------- ------------
------- ------------
..........................................................................................................
</TABLE>
F YIELD TO MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL
STATEMENT PURPOSES AND NET UNREALIZED DEPRECIATION CONSISTS OF:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $ 6,775
Gross Unrealized Depreciation (73,030)
-----------
NET UNREALIZED DEPRECIATION $ (66,255)
-----------
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
75
<PAGE>
MASTER INVESTMENT TRUST - SHORT-TERM MUNICIPAL INCOME MASTER PORTFOLIO -
JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
MUNICIPAL BONDS - 88.70%
ARIZONA - 5.16%
$ 200,000 Arizona State Transportation Board Excise Tax
Revenue Maricopa County Regional Area Road
Funding MBIA Insured 6.70 % 07/01/96 $ 200,016
700,000 Arizona State Transportation Board Tax Revenue
Maricopa County Regional Area Road Fund MBIA
Insured 7.00 07/01/00 757,890
CALIFORNIA - 8.81%
420,000 California State Maritime Infrastructure
Authority Port of San Diego Revenue AMBAC
Insured 4.20 11/01/98 417,127
300,000 Modesto CA Irrigation District 86 Geysers
Geothermal Power Project Series A 6.60 10/01/97 307,734
900,000 Northern California State Public Power Revenue
Series B AMBAC Insured 5.00 07/01/99 911,970
COLORADO - 4.80%
900,000 Colorado State Student Obligation Bond
Authority Series C 4.35 09/01/99 892,350
DELAWARE - 2.18%
400,000 Delaware State GO Series C 4.70 07/01/98 404,700
HAWAII - 2.70%
500,000 Honolulu HI Improvement Board Series B 4.50 10/01/98 502,085
ILLINOIS - 3.95%
200,000 Chicago IL AMBAC Insured 6.00 01/01/98 204,810
500,000 Illinois State Sales Tax Revenue Series E
Prerefunded 8.10 06/15/10 529,020
MARYLAND - 1.23%
225,000 Prince Georges County MD Series A 6.60 02/01/97 228,825
MINNESOTA - 1.13%
200,000 Minneapolis MN Special School District No. One
COP Prerefunded 7.38 02/01/15 209,898
</TABLE>
76
<PAGE>
MASTER INVESTMENT TRUST - SHORT-TERM MUNICIPAL INCOME MASTER PORTFOLIO -
JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
MUNICIPAL BONDS - CONTINUED
MISSOURI - 1.09%
$ 200,000 Branson MO Tax Allocation Revenue Street
Improvement Project CGIC Insured 4.95 % 10/01/97 $ 202,004
NEVADA - 2.87%
500,000 Clark County NV USD Series A 7.30 03/01/99 532,325
NEW JERSEY - 2.82%
500,000 Mercer County NJ Solid Waste Site Project
Prerefunded 7.90 04/01/13 524,390
NEW YORK - 6.28%
250,000 New York State Mortgage Agency Revenue
Homeowner Mortgage Series 44 AMT FHA
Collateralized 6.00 04/01/99 253,118
900,000 New York/New Jersey Port Authority Consolidated
Revenue MBIA Insured 5.00 09/01/98 913,743
NORTH CAROLINA - 2.72%
500,000 North Carolina State Municipal Power Agency
Catawba No 1 Electrical Revenue FGIC Insured 5.10 01/01/99 505,940
NORTH DAKOTA - 4.04%
750,000 North Dakota State Financing Agency Series D 4.15 10/02/97 750,675
OREGON - 1.64%
300,000 Lane County OR School District No. 52 FGIC
Insured 5.20 12/01/97 303,849
PENNSYLVANIA - 3.95%
500,000 Bethel Park PA USD Series B AMBAC Insured 6.05 02/01/98 514,730
200,000 Montgomery County PA Higher Education & Health
Authority Hospital Revenue Bryn Manor Hospital
Project Prerefunded 9.38 12/01/19 218,376
</TABLE>
77
<PAGE>
MASTER INVESTMENT TRUST - SHORT-TERM MUNICIPAL INCOME MASTER PORTFOLIO -
JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
MUNICIPAL BONDS - CONTINUED
PUERTO RICO - 2.69%
$ 500,000 Commonwealth of Puerto Rico Aquaduct and Sewer
Authority Revenue 4.50 % 07/01/99 $ 499,720
TEXAS - 7.33%
240,000 Brazos TX Higher Education Authority AMT Series
C-1 6.00 11/01/99 248,518
275,000 Dallas TX Waterworks & Sewer System Revenue
Series A 9.00 10/01/97 291,569
500,000 Northside TX Independent School District PSFG
Insured 8.60 08/01/97 522,320
275,000 Port of Houston Authority TX AMT 8.50 10/01/98 298,631
VIRGINIA - 3.91%
700,000 Virginia State Public School Authority Series A 7.00 01/01/98 726,656
WASHINGTON - 14.05%
1,000,000 Seattle WA Municipal Sewer District Revenue
Series T 6.88 01/01/31 1,086,340
200,000 Southern Columbia Basin WA Irrigation District 5.50 12/01/98 203,734
200,000 Tacoma WA Sewer Revenue Series B FGIC Insured 5.00 12/01/96 200,802
500,000 Thirstin County WA Olympia USD No 111 FGIC
Insured 5.25 12/01/98 510,745
300,000 Washington State HFFA Revenue Highline
Community Hospital LOC - Bank of Tokyo Ltd 7.40 08/15/09 307,280
300,000 Washington State Public Power Supply System
Nuclear Project Number Three Revenue Series B 6.70 07/01/96 300,017
WEST VIRGINIA - 2.66%
500,000 West Virginia State HFFA Charleston Area
Medical Center Series A MBIA Insured 4.30 09/01/99 493,295
</TABLE>
78
<PAGE>
MASTER INVESTMENT TRUST - SHORT-TERM MUNICIPAL INCOME MASTER PORTFOLIO -
JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
MUNICIPAL BONDS - CONTINUED
WISCONSIN - 2.69%
$ 500,000 Wisconsin State Transportation Series A 6.50 % 07/01/96 $ 500,032
------------
TOTAL MUNICIPAL BONDS $ 16,475,234
(Cost $16,475,494)
SHORT-TERM INSTRUMENTS + - 14.02%
ARIZONA - 2.15%
$ 400,000 Maricopa AZ IDA Hospital Facilities Revenue V/R
MBIA Insured 3.55 % 12/01/08 $ 400,000
CALIFORNIA - 3.23%
200,000 Irvine Ranch CA Water District LOC - National
Westminster Bank Plc 3.30 08/01/16 200,000
200,000 Irvine Ranch CA Water District V/R LOC -
Commerzbank AG 3.30 01/01/21 200,000
200,000 Orange County CA Sanitation District V/R LOC -
National Westminster Bank Plc 3.30 08/01/15 200,000
MISSOURI - 1.08%
200,000 Kansas City MO IDA Hospital Revenue V/R MBIA
Insured 3.65 10/15/14 200,000
NEW MEXICO - 1.62%
300,000 Farmington NM PCR V/R Arizona Public Services
Co. Series B 3.55 09/01/24 300,000
NEW YORK - 2.15%
400,000 New York State V/R Subseries A8 3.65 08/01/17 400,000
</TABLE>
79
<PAGE>
MASTER INVESTMENT TRUST - SHORT-TERM MUNICIPAL INCOME MASTER PORTFOLIO -
JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
SHORT-TERM INSTRUMENTS - CONTINUED
MONEY MARKET FUNDS - 3.79%
$ 605,000 National Municipal Fund $ 605,000
99,000 Arbor Institutional Tax-Free Portfolio 99,000
------------
$ 704,000
TOTAL SHORT-TERM INSTRUMENTS $ 2,604,000
(Cost $2,604,000)
TOTAL INVESTMENTS IN SECURITIES
</TABLE>
<TABLE>
<C> <S> <C> <C>
(Cost $19,079,494)* (Notes 1 and 3) 102.72 % $ 19,079,234
Other Assets and Liabilities, Net (2.72 ) (505,227)
------- ------------
TOTAL NET ASSETS 100.00 % $ 18,574,007
------- ------------
------- ------------
..........................................................................................................
</TABLE>
+ THESE VARIABLE RATE SECURITIES ARE SUBJECT TO A DEMAND FEATURE WHICH
REDUCES THE REMAINING MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL
STATEMENT PURPOSES AND NET UNREALIZED DEPRECIATION CONSISTS OF:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $ 53,880
Gross Unrealized Depreciation (54,140)
-----------
NET UNREALIZED DEPRECIATION $ (260)
-----------
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
80
<PAGE>
U.S. GOVERNMENT INCOME FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY SECURITIES - 66.80%
ADJUSTABLE RATE MORTGAGES - 1.14%
$ 20,886 GNMA #8109 (CMT) 6.75 % 03/20/16 $ 21,056
35,199 GNMA #8119 (CMT) 7.38 04/20/16 35,925
10,385 GNMA #8137 (CMT) 7.38 06/20/16 10,580
16,886 GNMA #8292 (CMT) 7.00 11/20/17 17,150
30,302 GNMA #8293 (CMT) 7.00 12/20/17 30,794
8,443 GNMA #8310 (CMT) 6.50 01/20/18 8,517
35,472 GNMA #8392 (CMT) 7.25 08/20/18 36,159
33,236 GNMA #8393 (CMT) 7.25 08/20/18 33,901
19,833 GNMA #8429 (CMT) 7.00 11/20/18 20,192
110,413 GNMA #8761 (CMT) 6.50 03/20/21 111,172
------------
$ 325,446
FEDERAL AGENCY - OTHER - 16.89%
$ 5,000,000 Tennessee Valley Authority 6.38 % 06/15/05 $ 4,805,450
FIXED RATE MORTGAGES - 43.50%
$ 40,925 FHLMC #275825 9.50 % 08/01/16 $ 43,751
41,693 FHLMC #304114 9.00 05/01/18 43,595
124,432 FHLMC #304398 9.00 06/01/18 130,409
38,677 FHLMC #305831 10.00 08/01/18 41,601
7,728 FHLMC #307323 9.50 09/01/18 8,261
59,807 FHLMC #307637 9.50 07/01/16 64,006
42,600 FHLMC #307915 9.50 10/01/18 45,589
5,748 FHLMC #308074 9.50 10/01/18 6,154
21,050 FHLMC #360020 10.00 01/01/18 22,646
28,388 FHLMC #360045 10.00 02/01/19 30,535
29,659 FHLMC #532468 9.50 04/01/19 31,707
14,468 GNMA #150499 10.50 03/15/16 15,915
72,643 GNMA #17087 9.00 09/15/16 76,842
158,234 GNMA #173055 9.00 09/15/16 167,381
82,796 GNMA #176892 9.00 10/15/16 87,666
436,165 GNMA #190848 9.00 01/15/17 461,380
164,656 GNMA #191961 9.00 02/15/20 173,557
49,139 GNMA #202624 9.00 11/15/19 51,857
</TABLE>
81
<PAGE>
U.S. GOVERNMENT INCOME FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY SECURITIES - CONTINUED
FIXED RATE MORTGAGES - CONTINUED
$ 61,705 GNMA #236877 9.00 % 04/15/18 $ 65,170
63,907 GNMA #285963 9.00 01/15/20 67,362
16,125 GNMA #289319 9.00 11/15/20 16,997
151,578 GNMA #303235 9.00 05/15/21 159,583
191,845 GNMA #304653 9.00 09/15/21 201,977
7,239 GNMA #314150 9.00 10/15/21 7,621
2,071,871 GNMA #319413 7.25 12/15/18 2,015,558
17,427 GNMA #33080 9.00 08/15/22 18,303
23,849 GNMA #335400 9.00 12/15/22 25,108
1,929,418 GNMA #358863 7.25 01/15/24 1,876,301
789,192 GNMA II #1124 11.00 01/20/19 881,259
408,692 GNMA II #1221 11.00 07/20/19 456,370
119,200 GNMA II #1562 10.00 02/20/21 128,400
32,141 GNMA II #194221 10.00 09/20/20 34,621
3,908,773 GNMA II #2020 8.50 06/20/25 3,994,258
364,454 GNMA II #266120 10.00 08/20/19 393,264
5,217 GNMA II #272537 10.00 08/20/19 5,629
18,411 GNMA II #278055 10.00 07/20/19 19,871
72,460 GNMA II #289000 10.00 05/20/20 78,053
247,019 GNMA II #85 10.00 02/20/22 266,237
149,795 GNMA II #908 10.00 01/20/18 161,636
------------
$ 12,376,430
U.S. GOVERNMENT AGENCY NOTES - 5.27%
$ 1,700,000 FNMA Principal Strip 5.16 %F 03/09/22 $ 1,500,947
TOTAL U.S. GOVERNMENT AGENCY SECURITIES $ 19,008,273
(Cost $18,943,190)
</TABLE>
82
<PAGE>
U.S. GOVERNMENT INCOME FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
U.S. TREASURY SECURITIES - 29.65%
U.S. TREASURY BONDS - 29.65%
$ 3,000,000 U.S. Treasury Bonds 5.63 % 02/15/06 $ 2,779,680
2,000,000 U.S. Treasury Bonds 6.88 08/15/25 1,979,680
2,500,000 U.S. Treasury Bonds 12.50 08/15/14 3,677,726
------------
TOTAL U.S. TREASURY SECURITIES $ 8,437,086
(Cost $8,957,201)
SHORT-TERM INSTRUMENTS - 2.92%
REPURCHASE AGREEMENTS - 2.92%
$ 831,000 Goldman Sachs Pooled Repurchase Agreement -
102% Collateralized by U.S. Government
Securities 5.30 % 07/03/96 $ 831,000
(Cost $831,000)
TOTAL INVESTMENTS IN SECURITIES
</TABLE>
<TABLE>
<C> <S> <C> <C>
(Cost $28,731,391)* (Notes 1 and 3) 99.37 % $ 28,276,359
Other Assets and Liabilities, Net 0.63 180,017
------- ------------
TOTAL NET ASSETS 100.00 % $ 28,456,376
------- ------------
------- ------------
..........................................................................................................
</TABLE>
F YIELD TO MATURITY.
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL
STATEMENT PURPOSES AND NET UNREALIZED DEPRECIATION CONSISTS OF:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $ 311,360
Gross Unrealized Depreciation (766,392)
-----------
NET UNREALIZED DEPRECIATION $ (455,032)
-----------
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
83
<PAGE>
U.S. TREASURY MONEY MARKET FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
YIELD TO MATURITY
PRINCIPAL SECURITY NAME MATURITY DATE VALUE
<C> <S> <C> <C> <C> <C>
U.S. TREASURY BILLS - 100.32%
$ 34,730,000 U.S. Treasury Bills 4.30 % 07/05/96 $ 34,712,612
29,625,000 U.S. Treasury Bills 4.34 07/11/96 29,584,852
24,825,000 U.S. Treasury Bills 4.68 07/25/96 24,745,174
31,405,000 U.S. Treasury Bills 4.82 08/01/96 31,271,555
30,355,000 U.S. Treasury Bills 4.87 08/08/96 30,195,786
174,200,000 U.S. Treasury Bills 4.92 08/15/96 173,140,895
25,000,000 U.S. Treasury Bills 5.04 08/22/96 24,818,903
20,620,000 U.S. Treasury Bills 5.06 08/29/96 20,449,682
17,745,000 U.S. Treasury Bills 5.15 09/05/96 17,584,546
32,995,000 U.S. Treasury Bills 5.15 09/12/96 32,656,400
19,120,000 U.S. Treasury Bills 5.15 09/26/96 18,888,394
38,135,000 U.S. Treasury Bills 5.18 09/19/96 37,701,422
19,395,000 U.S. Treasury Bills 5.21 10/03/96 19,139,772
12,570,000 U.S. Treasury Bills 5.22 10/10/96 12,390,837
30,000,000 U.S. Treasury Bills 5.26 10/17/96 29,541,900
------------
TOTAL U.S. TREASURY BILLS $536,822,730
TOTAL INVESTMENTS IN SECURITIES
</TABLE>
<TABLE>
<C> <S> <C> <C>
(Cost $536,822,730)* (Note 1) 100.32 % $536,822,730
Other Assets and Liabilities, Net (0.32 ) (1,720,400)
------- ------------
TOTAL NET ASSETS 100.00 % $535,102,330
------- ------------
------- ------------
..........................................................................................................
</TABLE>
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL
STATEMENT PURPOSES.
The accompanying notes are an integral part of these financial statements.
84
<PAGE>
VARIABLE RATE GOVERNMENT FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY SECURITIES - 99.46%
ADJUSTABLE RATE MORTGAGES - 39.03%
$ 26,516,020 FHLMC #410055 (CMT) 7.11 % 11/01/24 $ 27,046,340
17,533,635 FHLMC #610237 (CMT) 5.99 10/01/25 17,878,873
6,877,291 FHLMC #755102 (CMT) 7.58 06/01/18 7,117,996
38,994 FHLMC #845410 (CMT) 7.53 07/01/23 39,993
18,316 FHLMC #845613 (CMT) 7.53 01/01/24 18,923
16,770,104 FHLMC #846150 (CMT) 7.71 04/01/21 17,493,398
17,945,268 FHLMC #846206 (CMT) 5.93 12/01/25 18,307,045
9,242,429 FNMA #136014 (COFI) 6.16 05/01/18 9,612,773
8,838,214 FNMA #333938 (CMT) 6.05 12/01/25 9,064,649
7,258,680 GNMA II #8121 (CMT) 6.50 01/20/23 7,297,224
8,545,195 GNMA II #8358 (CMT) 6.50 01/20/24 8,582,623
12,661,506 GNMA II #8373 (CMT) 6.50 02/20/24 12,716,963
29,925,504 GNMA II #8387 (CMT) 6.50 03/20/24 30,056,577
9,942,756 GNMA II #8443 (CMT) 6.50 06/20/24 10,090,306
13,704,872 GNMA II #8705 (CMT) 7.00 09/20/25 13,927,576
13,548,963 GNMA II #8710 (CMT) 5.50 10/20/25 13,447,346
15,083,034 GNMA II #8765 (CMT) 5.50 12/20/25 14,972,325
------------
$217,670,930
FEDERAL HOME LOAN MORTGAGE CORPORATION - 7.67%
$ 8,000,000 FHLMC #1541 6.27 % 07/15/23 $ 7,822,400
4,303,560 FHLMC #845731 7.57 04/01/24 4,405,770
10,548,335 FHLMC #846288 7.44 05/01/24 10,787,782
19,247,859 FHLMC #846299 7.12 06/01/25 19,767,551
------------
$ 42,783,503
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 37.40%
$ 14,824,205 FNMA #190591 7.48 % 01/01/24 $ 15,333,713
15,912,168 FNMA #303924 5.62 05/28/26 16,418,174
13,854,152 FNMA #303990 7.44 01/01/25 14,215,745
14,373,326 FNMA #307678 7.15 02/01/25 14,633,770
14,898,758 FNMA #317627 6.55 08/01/25 15,289,851
23,000,486 FNMA #317702 7.41 11/01/24 23,517,997
</TABLE>
85
<PAGE>
VARIABLE RATE GOVERNMENT FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
INTEREST MATURITY
PRINCIPAL SECURITY NAME RATE DATE VALUE
<C> <S> <C> <C> <C> <C>
U.S. GOVERNMENT AGENCY SECURITIES - CONTINUED
FEDERAL NATIONAL MORTGAGE ASSOCIATION - CONTINUED
$ 51,464,124 FNMA #331477 7.34 % 03/01/25 $ 52,653,974
13,131,114 FNMA #334439 7.38 04/01/24 13,510,735
14,984,064 FNMA #348290 6.60 01/01/25 15,302,475
7,757,321 FNMA #57733 6.09 02/01/17 7,644,608
11,051,978 FNMA #66397 6.21 03/01/18 10,891,393
9,485,885 FNMA #93-183 6.37 10/25/23 9,190,115
------------
$208,602,550
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 8.37%
$ 27,083,222 GNMA II #8793 7.00 % 01/20/26 $ 27,485,137
20,000,000 GNMA TBA 6.23 07/24/26 19,194,000
------------
$ 46,679,137
REAL ESTATE MORTGAGE INVESTMENT CONDUITS - 6.99%
$ 19,624,574 FHLMC 1508 KA 5.47 % 05/15/23 $ 19,029,556
21,000,000 FNMA 93-62 FA 6.07 04/25/23 19,941,390
------------
$ 38,970,946
TOTAL U.S. GOVERNMENT AGENCY SECURITIES $554,707,066
(Cost $555,123,991)
U.S. TREASURY SECURITIES - 1.79%
U.S. TREASURY NOTES - 1.79%
$ 10,000,000 U.S. Treasury Notes 6.00 % 05/31/98 $ 9,978,100
(Cost $9,995,400)
SHORT-TERM INSTRUMENTS - 1.48%
REPURCHASE AGREEMENTS - 1.48%
$ 8,232,000 Goldman Sachs Pooled Repurchase Agreement -
102% Collateralized by U.S. Government
Securities 5.30 % 07/03/96 $ 8,232,000
(Cost $8,232,000)
</TABLE>
86
<PAGE>
VARIABLE RATE GOVERNMENT FUND - JUNE 30, 1996 (UNAUDITED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<C> <S> <C> <C> <C> <C>
TOTAL INVESTMENTS IN SECURITIES
</TABLE>
<TABLE>
<C> <S> <C> <C>
(Cost $573,351,391)* (Notes 1 and 3) 102.73 % $572,917,166
Other Assets and Liabilities, Net (2.73 ) (15,211,798)
------- ------------
TOTAL NET ASSETS 100.00 % $557,705,368
------- ------------
------- ------------
..........................................................................................................
</TABLE>
* COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME AS FOR FINANCIAL
STATEMENT PURPOSES AND NET UNREALIZED DEPRECIATION CONSISTS OF:
<TABLE>
<S> <C>
Gross Unrealized Appreciation $ 1,536,407
Gross Unrealized Depreciation (1,970,632)
-------------
NET UNREALIZED DEPRECIATION $ (434,225)
-------------
-------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
87
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED) - JUNE 30, 1996
<TABLE>
<CAPTION>
CALIFORNIA
ASSET CALIFORNIA TAX-FREE
ALLOCATION TAX-FREE MONEY
FUND BOND FUND MARKET FUND
<S> <C> <C> <C>
..........................................................................................
ASSETS
INVESTMENTS:
In securities, at market value (see
cost below) $74,389,733 $249,709,319 $332,479,210
Cash 1,300 577 10,954,270
Receivables:
Dividends and interest 273,519 4,335,462 3,013,036
Fund shares sold 13,790 82,201 0
Investment securities sold 0 117,500 0
Due from administrator (Note 2) 0 0 0
Organization expenses, net of
amortization 8,808 1,883 0
Prepaid expenses 0 17,805 0
TOTAL ASSETS 74,687,150 254,264,747 346,446,516
LIABILITIES
Payables:
Investment securities purchased 0 0 22,159,960
Distribution to shareholders 338,308 986,631 666,238
Fund shares redeemed 125 486,316 0
Due to sponsor and distributor (Note
2) 96,381 313,267 543,993
Due to adviser (Note 2) 152,882 33,942 388,359
Other 85,102 49,875 62,113
TOTAL LIABILITIES 672,798 1,870,031 23,820,663
TOTAL NET ASSETS
$74,014,352 $252,394,716 $322,625,853
NET ASSETS CONSIST OF:
Paid-in capital, Class A (1) $37,768,728 $238,049,852 $322,684,519
Paid-in capital, Class D or I 17,071,207 7,154,499 N/A
Undistributed (overdistributed) net
investment income 0 (15,018) 0
Undistributed net realized gain(loss)
on investments 7,383,840 4,713,863 (58,666)
Net unrealized appreciation
(depreciation) of investments 11,790,577 2,491,520 0
TOTAL NET ASSETS $74,014,352 $252,394,716 $322,625,853
COMPUTATION OF NET ASSET VALUE AND
OFFERING PRICE (NOTE 4)
Net assets - Class A (1) $54,100,779 $246,135,922 $322,625,853
Shares outstanding - Class A (1) 3,666,686 23,546,300 322,683,824
Net asset value per share - Class A (1) $14.75 $10.45 $1.00
Maximum offering price per share - Class
A (1) $15.45(2) $10.94(2) $1.00
Net assets - Class D or I $19,913,573 $ 6,258,794 N/A
Shares outstanding - Class D or I 1,084,114 458,587 N/A
Net asset value and offering price per
share - Class D or I $18.37 $13.65 N/A
INVESTMENTS AT COST (NOTE 3) $62,599,156 $247,217,799 $332,479,210
</TABLE>
................................................................................
(1) INCLUDES FUNDS WITH A SINGLE CLASS.
(2) MAXIMUM OFFERING PRICE IS COMPUTED AS 100/95.5 OF NET ASSET VALUE PER
SHARE. ON INVESTMENTS OF $100,000 OR MORE THE OFFERING PRICE IS REDUCED.
(3) MAXIMUM OFFERING PRICE IS COMPUTED AS 100/97 OF NET ASSET VALUE PER SHARE.
ON INVESTMENTS OF $100,000 OR MORE THE OFFERING PRICE IS REDUCED.
(4) INVESTMENT IN CORRESPONDING MASTER PORTFOLIO.
The accompanying notes are an integral part of these financial statements.
88
<PAGE>
<TABLE>
<CAPTION>
SHORT-TERM SHORT-TERM
MONEY MUNICIPAL GOVERNMENT- MUNICIPAL STRATEGIC
MARKET INCOME CORPORATE INCOME GROWTH
FUND FUND INCOME FUND FUND FUND
<S> <C> <C> <C> <C> <C>
................................................................................................................................
ASSETS
INVESTMENTS:
In securities, at market value (see
cost below) $ 998,977,683 $ 62,224,044 $18,415,240(4) $ 18,575,665(4) $144,435,764(4)
Cash 4,646 1,443 0 0 0
Receivables:
Dividends and interest 1,011,425 1,072,885 61,290 65,990 0
Fund shares sold 0 0 0 0 0
Investment securities sold 0 0 0 0 0
Due from administrator (Note 2) 0 0 9,560 13,268 1,853
Organization expenses, net of
amortization 32,894 7,824 63,518 56,419 28,216
Prepaid expenses 45,560 2,348 466 582 20,071
TOTAL ASSETS 1,000,072,208 63,308,544 18,550,074 18,711,924 144,485,904
LIABILITIES
Payables:
Investment securities purchased 0 0 0 0 0
Distribution to shareholders 4,098,788 256,133 55,065 59,766 0
Fund shares redeemed 0 3,011 0 0 0
Due to sponsor and distributor (Note
2) 338,141 92,767 11,063 23,186 196,977
Due to adviser (Note 2) 669,011 15,537 0 0 0
Other 38,011 81,642 35,367 24,260 58,514
TOTAL LIABILITIES 5,143,951 449,090 101,495 107,212 255,491
TOTAL NET ASSETS
$ 994,928,257 $ 62,859,454 $18,448,579 $ 18,604,712 $144,230,413
NET ASSETS CONSIST OF:
Paid-in capital, Class A (1) $ 400,253,778 $ 53,193,308 $18,515,099 $ 18,594,079 $ 73,928,544
Paid-in capital, Class D or I 594,758,085 12,135,591 N/A N/A 43,530,369
Undistributed (overdistributed) net
investment income 0 0 0 0 (1,687,319)
Undistributed net realized gain(loss)
on investments (83,606) (3,805,643) (213) 9,229 7,279,287
Net unrealized appreciation
(depreciation) of investments 0 1,336,198 (66,307) 1,404 21,179,532
TOTAL NET ASSETS $ 994,928,257 $ 62,859,454 $18,448,579 $ 18,604,712 $144,230,413
COMPUTATION OF NET ASSET VALUE AND
OFFERING PRICE (NOTE 4)
Net assets - Class A (1) $ 400,170,742 $ 51,901,597 $18,448,579 $ 18,604,712 $ 92,842,641
Shares outstanding - Class A (1) 400,251,514 4,909,087 3,708,405 3,748,632 4,746,497
Net asset value per share - Class A (1) $1.00 $10.57 $4.97 $4.96 $19.56
Maximum offering price per share - Class
A (1) $1.00 $10.90(3) $5.12(3) $5.11(3) $20.48(2)
Net assets - Class D or I $ 594,757,515 $ 10,957,857 N/A N/A $ 51,387,772
Shares outstanding - Class D or I 594,760,307 765,353 N/A N/A 2,133,929
Net asset value and offering price per
share - Class D or I $1.00 $14.32 N/A N/A $24.08
INVESTMENTS AT COST (NOTE 3) $ 998,977,683 $ 60,887,846 N/A N/A N/A
</TABLE>
................................................................................
(1) INCLUDES FUNDS WITH A SINGLE CLASS.
(2) MAXIMUM OFFERING PRICE IS COMPUTED AS 100/95.5 OF NET ASSET VALUE PER
SHARE. ON INVESTMENTS OF $100,000 OR MORE THE OFFERING PRICE IS REDUCED.
(3) MAXIMUM OFFERING PRICE IS COMPUTED AS 100/97 OF NET ASSET VALUE PER SHARE.
ON INVESTMENTS OF $100,000 OR MORE THE OFFERING PRICE IS REDUCED.
(4) INVESTMENT IN CORRESPONDING MASTER PORTFOLIO.
The accompanying notes are an integral part of these financial statements.
89
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED) - JUNE 30, 1996
<TABLE>
<CAPTION>
U.S. U.S. VARIABLE
GOVERNMENT TREASURY RATE
INCOME MONEY MARKET GOVERNMENT
FUND FUND FUND
<S> <C> <C> <C>
..........................................................................................
ASSETS
INVESTMENTS:
In securities, at market value (see
cost below) $28,276,359 $536,822,730 $572,917,166
Cash 2,075 369,026 4,246
Receivables:
Dividends and interest 339,135 0 3,452,199
Fund shares sold 5,008 0 33,893
Investment securities sold 14,645 0 3,998,850
Due from administrator (Note 2) 17,608 0 0
Organization expenses, net of
amortization 7,582 18,184 10,475
Prepaid expenses 17,267 3,784 24,570
TOTAL ASSETS 28,679,679 537,213,724 580,441,399
LIABILITIES
Payables:
Investment securities purchased 0 0 19,018,750
Distribution to shareholders 138,838 1,552,673 2,494,423
Fund shares redeemed 5,596 0 28,533
Due to sponsor and distributor (Note
2) 8,552 300,754 538,026
Due to adviser (Note 2) 0 210,335 623,209
Other 70,317 47,632 33,090
TOTAL LIABILITIES 223,303 2,111,394 22,736,031
TOTAL NET ASSETS
$28,456,376 $535,102,330 $557,705,368
NET ASSETS CONSIST OF:
Paid-in capital, Class A (1) $28,415,283 $406,908,870 $705,317,301
Paid-in capital, Class D or I 3,322,532 128,198,976 7,444,769
Undistributed (overdistributed) net
investment income (12,644) 0 0
Undistributed net realized gain(loss)
on investments (2,813,763) (5,516) (154,622,477)
Net unrealized appreciation
(depreciation) of investments (455,032) 0 (434,225)
TOTAL NET ASSETS $28,456,376 $535,102,330 $557,705,368
COMPUTATION OF NET ASSET VALUE AND
OFFERING PRICE (NOTE 4)
Net assets - Class A (1) $26,094,693 $406,891,143 $551,401,227
Shares outstanding - Class A (1) 2,606,593 406,912,233 59,629,476
Net asset value per share - Class A (1) $10.01 $1.00 $9.25
Maximum offering price per share - Class
A (1) $10.48(2) $1.00 $9.54(3)
Net assets - Class D or I $ 2,361,683 $128,211,187 $ 6,304,141
Shares outstanding - Class D or I 172,553 128,198,976 456,070
Net asset value and offering price per
share - Class D or I $13.69 $1.00 $13.82
INVESTMENTS AT COST (NOTE 3) $28,731,391 $536,822,730 $573,351,391
</TABLE>
................................................................................
(1) INCLUDES FUNDS WITH A SINGLE CLASS.
(2) MAXIMUM OFFERING PRICE IS COMPUTED AS 100/95.5 OF NET ASSET VALUE PER
SHARE. ON INVESTMENTS OF $100,000 OR MORE THE OFFERING PRICE IS REDUCED.
(3) MAXIMUM OFFERING PRICE IS COMPUTED AS 100/97 OF NET ASSET VALUE PER SHARE.
ON INVESTMENTS OF $100,000 OR MORE THE OFFERING PRICE IS REDUCED.
The accompanying notes are an integral part of these financial statements.
90
<PAGE>
STATEMENT OF OPERATIONS (UNAUDITED) -
FOR THE SIX MONTHS ENDED JUNE 30, 1996
<TABLE>
<CAPTION>
CALIFORNIA
ASSET CALIFORNIA TAX-FREE
ALLOCATION TAX-FREE MONEY
FUND BOND FUND MARKET FUND
<S> <C> <C> <C>
.................................................................................................
INVESTMENT INCOME (1)
Dividends $ 677,760 $ 0 $ 0
Interest 330,962 7,572,002 5,691,550
Expenses N/A N/A N/A
TOTAL INVESTMENT INCOME 1,008,722 7,572,002 5,691,550
EXPENSES (NOTE 2)
Advisory fees 249,675 648,470 757,199
Administration fees 35,668 180,334 168,439
Custody fees 0 23,013 31,112
Service fees 22,483 8,425 0
Portfolio accounting fees 0 56,654 64,270
Transfer agency fees 41,274 125,313 24,367
Distribution fees 134,135 16,604 0
Amortization of organization expenses 2,098 582 0
Legal and audit fees 33,954 12,361 8,069
Registration fees 27,350 994 4,426
Directors' fees 2,486 2,486 2,486
Shareholder reports 37,295 2,486 1,328
Other 3,376 13,777 3,500
TOTAL EXPENSES 589,794 1,091,499 1,065,196
Less:
Waived fees and reimbursed expenses
(Note 2) (58,390) (131,418) (369)
NET EXPENSES 531,404 960,081 1,064,827
NET INVESTMENT INCOME (LOSS) 477,318 6,611,921 4,626,723
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS (1)
Net realized gain (loss) on sale of
investments 6,511,796 2,719,317 13,462
Net change in unrealized appreciation
(depreciation) of investments (1,420,847) (12,461,149) 0
NET GAIN (LOSS) ON INVESTMENTS 5,090,949 (9,741,832) 13,462
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 5,568,267 $ (3,129,911) $ 4,640,185
</TABLE>
................................................................................
(1) FOR THE SHORT-TERM GOVERNMENT-CORPORATE FUND, THE SHORT-TERM MUNICIPAL
INCOME FUND AND THE STRATEGIC GROWTH FUND, THE INCOME, EXPENSES AND
REALIZED AND UNREALIZED GAINS AND LOSSES ARE ALLOCATED FROM EACH FUND'S
CORRESPONDING MASTER PORTFOLIO. SEE NOTE 5 FOR DETAILS OF INCOME ALLOCATION
FROM THE MASTER PORTOLIO.
The accompanying notes are an integral part of these financial statements.
91
<PAGE>
STATEMENT OF OPERATIONS (UNAUDITED) -
FOR THE SIX MONTHS ENDED JUNE 30, 1996
<TABLE>
<CAPTION>
SHORT-TERM
MONEY MUNICIPAL GOVERNMENT-
MARKET INCOME CORPORATE
FUND FUND INCOME FUND
<S> <C> <C> <C>
.................................................................................................
INVESTMENT INCOME (1)
Dividends $ 0 $ 0 $ 0
Interest 24,121,686 2,028,059 286,497
Expenses N/A N/A 0
TOTAL INVESTMENT INCOME 24,121,686 2,028,059 286,497
EXPENSES (NOTE 2)
Advisory fees 1,110,704 161,530 0
Administration fees 444,282 32,826 7,255
Custody fees 76,930 6,079 0
Service fees 0 14,147 0
Portfolio accounting fees 118,913 32,923 0
Transfer agency fees 21,880 47,242 0
Distribution fees 490,961 69,046 12,093
Amortization of organization expenses 2,326 14,127 7,792
Legal and audit fees 32,457 16,061 14,878
Registration fees 12,983 22,378 4,987
Directors' fees 2,486 2,486 2,486
Shareholder reports 14,919 14,919 4,987
Other 2,384 8,004 1,596
TOTAL EXPENSES 2,331,225 441,768 56,074
Less:
Waived fees and reimbursed expenses
(Note 2) (61,723) (145,357) (40,573)
NET EXPENSES 2,269,502 296,411 15,501
NET INVESTMENT INCOME (LOSS) 21,852,184 1,731,648 270,996
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS (1)
Net realized gain (loss) on sale of
investments 109,674 (46,849) (4,064)
Net change in unrealized appreciation
(depreciation) of investments 0 (2,211,369) (80,875)
NET GAIN (LOSS) ON INVESTMENTS 109,674 (2,258,218) (84,939)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 21,961,858 $ (526,570) $ 186,057
</TABLE>
................................................................................
(1) FOR THE SHORT-TERM GOVERNMENT-CORPORATE FUND, THE SHORT-TERM MUNICIPAL
INCOME FUND AND THE STRATEGIC GROWTH FUND, THE INCOME, EXPENSES AND
REALIZED AND UNREALIZED GAINS AND LOSSES ARE ALLOCATED FROM EACH FUND'S
CORRESPONDING MASTER PORTFOLIO. SEE NOTE 5 FOR DETAILS OF INCOME ALLOCATION
FROM THE MASTER PORTOLIO.
The accompanying notes are an integral part of these financial statements.
92
<PAGE>
<TABLE>
<CAPTION>
SHORT-TERM U.S. VARIABLE
MUNICIPAL STRATEGIC GOVERNMENT U.S. TREASURY RATE
INCOME GROWTH INCOME MONEY MARKET GOVERNMENT
FUND FUND FUND FUND FUND
<S> <C> <C> <C> <C> <C>
................................................................................................................................
INVESTMENT INCOME (1)
Dividends $ 0 $ 199,956 $ 0 $ 0 $ 0
Interest 404,393 59,727 1,075,360 8,926,488 18,257,074
Expenses 0 270,612 N/A N/A N/A
TOTAL INVESTMENT INCOME 404,393 (10,929) 1,075,360 8,926,488 18,257,074
EXPENSES (NOTE 2)
Advisory fees 0 59,742 75,704 441,743 1,508,820
Administration fees 13,767 91,050 15,141 176,697 351,492
Custody fees 0 3,539 7,215 32,501 59,868
Service fees 0 45,780 3,122 0 9,188
Portfolio accounting fees 0 10,685 22,566 65,954 90,967
Transfer agency fees 0 82,548 31,912 18,399 51,857
Distribution fees 22,945 221,253 6,244 316,425 763,623
Amortization of organization expenses 7,796 7,410 1,745 5,398 141
Legal and audit fees 14,720 15,936 17,452 20,392 57,343
Registration fees 4,973 25,137 24,422 17,405 14,959
Directors' fees 2,486 2,486 2,493 2,486 2,493
Shareholder reports 7,459 38,252 24,932 9,945 9,972
Other 1,491 3,992 13,714 4,987 16,830
TOTAL EXPENSES 75,637 607,810 246,662 1,112,332 2,937,553
Less:
Waived fees and reimbursed expenses
(Note 2) (38,926) (37,230) (100,720) (123,407) (259,738)
NET EXPENSES 36,711 570,580 145,942 988,925 2,677,815
NET INVESTMENT INCOME (LOSS) 367,682 (581,509) 929,418 7,937,563 15,579,259
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS (1)
Net realized gain (loss) on sale of
investments 9,424 5,339,058 (864,242) 20,307 (2,575,109)
Net change in unrealized appreciation
(depreciation) of investments (129,672) 9,933,553 (1,433,418) 0 (4,066,542)
NET GAIN (LOSS) ON INVESTMENTS (120,248) 15,272,611 (2,297,660) 20,307 (6,641,651)
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 247,434 $ 14,691,102 $(1,368,242) $ 7,957,870 $8,937,608
</TABLE>
................................................................................
(1) FOR THE SHORT-TERM GOVERNMENT-CORPORATE FUND, THE SHORT-TERM MUNICIPAL
INCOME FUND AND THE STRATEGIC GROWTH FUND, THE INCOME, EXPENSES AND
REALIZED AND UNREALIZED GAINS AND LOSSES ARE ALLOCATED FROM EACH FUND'S
CORRESPONDING MASTER PORTFOLIO. SEE NOTE 5 FOR DETAILS OF INCOME ALLOCATION
FROM THE MASTER PORTOLIO.
The accompanying notes are an integral part of these financial statements.
93
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
ASSET ALLOCATION FUND
.................................
(Unaudited) For the
Six Months Year Ended
Ended December 31,
June 30, 1996 1995
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 477,318 $ 1,158,174
Net realized gain (loss) on sale of
investments 6,511,796 2,440,725
Net change in unrealized appreciation
(depreciation) of investments (1,420,847) 14,291,076
NET INCREASE (DECREASE) RESULTING FROM
OPERATIONS 5,568,267 17,889,975
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Class A (405,229) (996,012)
Class D or I (72,089) (162,162)
From net realized gain on sales of
investments
Class A 0 (1,201,148)
Class D or I 0 (367,533)
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold - Class A
(1) 3,410,258 4,025,824
Reinvestment of dividends - Class A
(1) 295,017 5,040,708
Cost of shares redeemed - Class A (1) (5,452,873) (9,469,024)
NET INCREASE IN NET ASSETS RESULTING
FROM CAPITAL SHARE TRANSACTIONS - CLASS
A (1) (1,747,598) (402,492)
Proceeds from shares sold - Class D or
I 3,763,340 5,176,687
Reinvestment of dividends - Class D or
I 32,201 1,070,410
Cost of shares redeemed - Class D or I (1,206,166) (3,031,687)
NET INCREASE IN NET ASSETS RESULTING
FROM CAPITAL SHARE TRANSACTIONS - CLASS
D OR I 2,589,375 3,215,410
INCREASE (DECREASE) IN NET ASSETS 5,932,726 17,976,038
NET ASSETS:
Beginning net assets 68,081,627 50,105,589
ENDING NET ASSETS $ 74,014,353 $ 68,081,627
SHARES ISSUED AND REDEEMED:
Shares sold - Class A (1) 238,483 324,722
Shares issued in reinvestment of
dividends - Class A (1) 21,098 441,179
Shares redeemed - Class A (1) (371,117) (766,534)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS A (1) (111,536) (633)
Shares sold - Class D or I 209,966 328,419
Shares issued in reinvestment of
dividends - Class D or I 1,866 75,254
Shares redeemed - Class D or I (67,507) (202,929)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS D OR I 144,325 200,744
</TABLE>
................................................................................
(1) INCLUDES FUNDS WITH A SINGLE CLASS.
The accompanying notes are an integral part of these financial statements.
94
<PAGE>
<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE BOND FUND CALIFORNIA TAX-FREE MONEY MARKET
FUND
................................. .................................
(Unaudited) For the (Unaudited) For the
Six Months Year Ended Six Months Year Ended
Ended December 31, Ended December 31,
June 30, 1996 1995 June 30, 1996 1995
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 6,611,921 $ 15,823,355 $ 4,626,723 $ 9,525,192
Net realized gain (loss) on sale of
investments 2,719,317 11,707,680 13,462 8,582
Net change in unrealized
appreciation (depreciation) of
investments (12,461,149) 15,517,216 0 0
NET INCREASE (DECREASE) RESULTING FROM
OPERATIONS (3,129,911) 43,048,251 4,640,185 9,533,774
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Class A (6,465,332) (15,466,590) (4,626,723) (9,525,192)
Class D or I (146,589) (356,764) N/A N/A
From net realized gain on sales of
investments
Class A 0 (9,468,118) N/A N/A
Class D or I 0 (245,016) N/A N/A
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold - Class A
(1) 6,890,121 13,066,837 499,537,843 659,698,172
Reinvestment of dividends - Class A
(1) 3,227,048 17,283,285 1,861,922 2,986,292
Cost of shares redeemed - Class A
(1) (22,845,136) (52,153,705) (534,655,207) (595,234,606)
NET INCREASE IN NET ASSETS RESULTING
FROM CAPITAL SHARE TRANSACTIONS -
CLASS A (1) (12,727,967) (21,803,583) (33,255,442) 67,449,858
Proceeds from shares sold - Class D
or I 722,334 1,423,486 N/A N/A
Reinvestment of dividends - Class D
or I 70,315 397,321 N/A N/A
Cost of shares redeemed - Class D or
I (1,342,934) (2,565,176) N/A N/A
NET INCREASE IN NET ASSETS RESULTING
FROM CAPITAL SHARE TRANSACTIONS -
CLASS D OR I (550,285) (744,369) N/A N/A
INCREASE (DECREASE) IN NET ASSETS (23,020,084) (5,036,189) (33,241,980) 67,458,440
NET ASSETS:
Beginning net assets 275,414,800 280,450,989 355,867,833 288,409,393
ENDING NET ASSETS $ 252,394,716 $ 275,414,800 $ 322,625,853 $ 355,867,833
SHARES ISSUED AND REDEEMED:
Shares sold - Class A (1) 655,923 1,213,665 499,537,144 659,698,172
Shares issued in reinvestment of
dividends - Class A (1) 304,088 1,620,338 1,861,922 2,986,292
Shares redeemed - Class A (1) (2,163,335) (4,864,665) (534,655,207) (595,234,606)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS A (1) (1,203,324) (2,030,662) (33,256,141) 67,449,858
Shares sold - Class D or I 52,693 102,025 N/A N/A
Shares issued in reinvestment of
dividends - Class D or I 5,077 28,596 N/A N/A
Shares redeemed - Class D or I (98,113) (183,326) N/A N/A
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS D OR I (40,343) (52,705) N/A N/A
<CAPTION>
MONEY MARKET FUND
.................................
(Unaudited)
Six Months Year Ended
Ended December 31,
June 30, 1996 1995
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 21,852,184 $ 26,438,943
Net realized gain (loss) on sale of
investments 109,674 (155,089)
Net change in unrealized
appreciation (depreciation) of
investments 0 0
NET INCREASE (DECREASE) RESULTING FROM
OPERATIONS 21,961,858 26,283,854
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Class A (9,399,189) (18,371,046)
Class D or I (12,452,995) (8,067,897)
From net realized gain on sales of
investments
Class A 0 0
Class D or I 0 0
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold - Class A
(1) 1,064,825,253 1,969,443,796
Reinvestment of dividends - Class A
(1) 4,222,839 8,012,050
Cost of shares redeemed - Class A
(1) (1,044,160,602) (1,910,005,001)
NET INCREASE IN NET ASSETS RESULTING
FROM CAPITAL SHARE TRANSACTIONS -
CLASS A (1) 24,887,490 67,450,845
Proceeds from shares sold - Class D
or I 1,072,733,415 918,045,967
Reinvestment of dividends - Class D
or I 10,466,201 6,132,104
Cost of shares redeemed - Class D or
I (812,661,699) (611,195,414)
NET INCREASE IN NET ASSETS RESULTING
FROM CAPITAL SHARE TRANSACTIONS -
CLASS D OR I 270,537,917 312,982,657
INCREASE (DECREASE) IN NET ASSETS 295,535,081 380,278,413
NET ASSETS:
Beginning net assets 699,393,176 319,114,763
ENDING NET ASSETS $ 994,928,257 $ 699,393,176
SHARES ISSUED AND REDEEMED:
Shares sold - Class A (1) 1,064,825,254 1,969,427,483
Shares issued in reinvestment of
dividends - Class A (1) 4,222,839 8,012,052
Shares redeemed - Class A (1) (1,044,160,602) (1,909,990,912)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS A (1) 24,887,491 67,448,623
Shares sold - Class D or I 1,072,733,415 918,035,650
Shares issued in reinvestment of
dividends - Class D or I 10,466,201 6,132,104
Shares redeemed - Class D or I (812,661,699) (611,182,876)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS D OR I 270,537,917 312,984,878
</TABLE>
................................................................................
(1) INCLUDES FUNDS WITH A SINGLE CLASS.
The accompanying notes are an integral part of these financial statements.
95
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
MUNICIPAL INCOME FUND
.................................
(Unaudited) For the
Six Months Year Ended
Ended December 31,
June 30, 1996 1995
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 1,731,648 $ 4,411,872
Net realized gain (loss) on sale of
investments (46,849) (157,864)
Net change in unrealized
appreciation (depreciation) of
investments (2,211,369) 8,364,389
NET INCREASE (DECREASE) RESULTING FROM
OPERATIONS (526,570) 12,618,397
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Class A (1,461,058) (3,711,863)
Class D or I (270,590) (700,009)
From net realized gain on sales of
investments
Class A 0 0
Class D or I 0 0
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold - Class A
(1) 1,001,513 2,879,523
Reinvestment of dividends - Class A
(1) 673,166 1,817,939
Cost of shares redeemed - Class A
(1) (6,341,735) (26,842,190)
NET INCREASE IN NET ASSETS RESULTING
FROM CAPITAL SHARE TRANSACTIONS -
CLASS A (1) (4,667,056) (22,144,728)
Proceeds from shares sold - Class D
or I 354,490 444,177
Reinvestment of dividends - Class D
or I 92,758 263,711
Cost of shares redeemed - Class D or
I (1,373,028) (5,395,020)
NET INCREASE IN NET ASSETS RESULTING
FROM CAPITAL SHARE TRANSACTIONS -
CLASS D OR I (925,780) (4,687,132)
INCREASE (DECREASE) IN NET ASSETS (7,851,054) (18,625,335)
NET ASSETS:
Beginning net assets 70,710,508 89,335,843
ENDING NET ASSETS $ 62,859,454 $ 70,710,508
SHARES ISSUED AND REDEEMED:
Shares sold - Class A (1) 93,750 276,270
Shares issued in reinvestment of
dividends - Class A (1) 62,813 174,511
Shares redeemed - Class A (1) (594,552) (2,549,296)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS A (1) (437,989) (2,098,515)
Shares sold - Class D or I 24,618 31,359
Shares issued in reinvestment of
dividends - Class D or I 6,391 18,704
Shares redeemed - Class D or I (94,737) (379,181)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS D OR I (63,728) (329,118)
</TABLE>
................................................................................
(1) INCLUDES FUNDS WITH A SINGLE CLASS.
(2) SEE NOTE 6.
The accompanying notes are an integral part of these financial statements.
96
<PAGE>
<TABLE>
<CAPTION>
SHORT-TERM GOVERNMENT- CORPORATE SHORT-TERM MUNICIPAL INCOME FUND
INCOME FUND
................................. .................................
(Unaudited) For the (Unaudited) For the
Six Months Year Ended Six Months Year Ended
Ended December 31, Ended December 31,
June 30, 1996 1995 June 30, 1996 1995
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 270,996 $ 143,733 $ 367,682 $ 569,000
Net realized gain (loss) on sale of
investments (4,064) 3,975 9,419 19,197
Net change in unrealized appreciation
(depreciation) of investments (80,875) 15,944 (129,667) 159,456
NET INCREASE (DECREASE) RESULTING FROM
OPERATIONS 186,057 163,652 247,434 747,653
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Class A (270,996) (143,733) (367,682) (569,000)
Class D or I N/A N/A N/A N/A
From net realized gain on sales of
investments
Class A 0 (123) 0 (18,317)
Class D or I N/A N/A N/A N/A
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold - Class A
(1) 13,674,653 6,608,129 7,705,253 13,131,189
Reinvestment of dividends - Class A
(1) 165,093 62,845 340,632 559,579
Cost of shares redeemed - Class A (1) (1,260,695) (832,585) (5,807,390) (9,142,984)
NET INCREASE IN NET ASSETS RESULTING
FROM CAPITAL SHARE TRANSACTIONS -
CLASS A (1) 12,579,051 5,838,389 2,238,495 4,547,784
Proceeds from shares sold - Class D
or I N/A N/A N/A N/A
Reinvestment of dividends - Class D
or I N/A N/A N/A N/A
Cost of shares redeemed - Class D or
I N/A N/A N/A N/A
NET INCREASE IN NET ASSETS RESULTING
FROM CAPITAL SHARE TRANSACTIONS -
CLASS D OR I N/A N/A N/A N/A
INCREASE (DECREASE) IN NET ASSETS 12,494,112 5,858,185 2,118,247 4,708,120
NET ASSETS:
Beginning net assets 5,954,467 96,282 16,486,465 11,778,345
ENDING NET ASSETS $ 18,448,579 $ 5,954,467 $ 18,604,712 $ 16,486,465
SHARES ISSUED AND REDEEMED:
Shares sold - Class A (1) 2,743,655 1,319,177 1,547,118 2,632,568
Shares issued in reinvestment of
dividends - Class A (1) 33,049 12,545 68,404 112,388
Shares redeemed - Class A (1) (253,369) (166,185) (1,168,694) (1,834,871)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS A (1) 2,523,335 1,165,537 446,828 910,085
Shares sold - Class D or I N/A N/A N/A N/A
Shares issued in reinvestment of
dividends - Class D or I N/A N/A N/A N/A
Shares redeemed - Class D or I N/A N/A N/A N/A
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS D OR I N/A N/A N/A N/A
<CAPTION>
STRATEGIC GROWTH FUND
.................................
(Unaudited)
Ended Year Ended
June 30, December 31,
1996(2) 1995
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ (581,509) $ (606,322)
Net realized gain (loss) on sale of
investments 5,339,058 10,895,873
Net change in unrealized appreciation
(depreciation) of investments 9,933,553 8,601,611
NET INCREASE (DECREASE) RESULTING FROM
OPERATIONS 14,691,102 18,891,162
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Class A 0 0
Class D or I 0 0
From net realized gain on sales of
investments
Class A 0 (6,182,997)
Class D or I 0 (2,772,646)
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold - Class A
(1) 47,293,165 36,545,391
Reinvestment of dividends - Class A
(1) 4,820 4,705,176
Cost of shares redeemed - Class A (1) (23,675,833) (15,571,514)
NET INCREASE IN NET ASSETS RESULTING
FROM CAPITAL SHARE TRANSACTIONS -
CLASS A (1) 23,622,152 25,679,053
Proceeds from shares sold - Class D
or I 36,663,630 11,752,195
Reinvestment of dividends - Class D
or I 0 1,754,560
Cost of shares redeemed - Class D or
I (16,088,941) (5,858,015)
NET INCREASE IN NET ASSETS RESULTING
FROM CAPITAL SHARE TRANSACTIONS -
CLASS D OR I 20,574,689 7,648,740
INCREASE (DECREASE) IN NET ASSETS 58,887,943 43,263,312
NET ASSETS:
Beginning net assets 85,342,470 42,079,158
ENDING NET ASSETS $ 144,230,413 $ 85,342,470
SHARES ISSUED AND REDEEMED:
Shares sold - Class A (1) 2,507,680 2,168,399
Shares issued in reinvestment of
dividends - Class A (1) 244 292,301
Shares redeemed - Class A (1) (1,269,552) (965,246)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS A (1) 1,238,372 1,495,454
Shares sold - Class D or I 1,549,343 552,068
Shares issued in reinvestment of
dividends - Class D or I 0 88,848
Shares redeemed - Class D or I (681,892) (301,590)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS D OR I 867,451 339,326
</TABLE>
................................................................................
(1) INCLUDES FUNDS WITH A SINGLE CLASS.
The accompanying notes are an integral part of these financial statements.
97
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
U.S. GOVERNMENT INCOME FUND
.................................
(Unaudited) For the
Six Months Year Ended
Ended December 31,
June 30, 1996 1995
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 929,418 $ 2,535,336
Net realized gain (loss) on sale of
investments (864,242) (736,709)
Net change in unrealized appreciation
(depreciation) of investments (1,433,418) 4,863,922
NET INCREASE (DECREASE) RESULTING FROM
OPERATIONS (1,368,242) 6,662,549
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Class A (861,241) (2,334,261)
Class D or I (68,177) (201,075)
From net realized gain on sales of
investments
Class A 0 0
Class D or I 0 0
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold - Class A
(1) 1,344,423 4,782,569
Reinvestment of dividends - Class A
(1) 296,815 620,986
Cost of shares redeemed - Class A (1) (3,909,469) (14,528,380)
NET INCREASE IN NET ASSETS RESULTING
FROM CAPITAL SHARE TRANSACTIONS - CLASS
A (1) (2,268,231) (9,124,825)
Proceeds from shares sold - Class D
or I 27,178 190,856
Reinvestment of dividends - Class D
or I 38,000 116,849
Cost of shares redeemed - Class D or
I (306,767) (1,606,274)
NET INCREASE IN NET ASSETS RESULTING
FROM CAPITAL SHARE TRANSACTIONS - CLASS
D OR I (241,589) (1,298,569)
INCREASE (DECREASE) IN NET ASSETS (4,807,480) (6,296,181)
NET ASSETS:
Beginning net assets 33,263,856 39,560,037
ENDING NET ASSETS $ 28,456,376 $ 33,263,856
SHARES ISSUED AND REDEEMED:
Shares sold - Class A (1) 131,976 472,576
Shares issued in reinvestment of
dividends - Class A (1) 28,628 60,905
Shares redeemed - Class A (1) (379,750) (1,418,306)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS A (1) (219,146) (884,825)
Shares sold - Class D or I 1,947 13,647
Shares issued in reinvestment of
dividends - Class D or I 2,681 8,425
Shares redeemed - Class D or I (21,510) (114,517)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS D OR I (16,882) (92,445)
</TABLE>
................................................................................
(1) INCLUDES FUNDS WITH A SINGLE CLASS.
The accompanying notes are an integral part of these financial statements.
98
<PAGE>
<TABLE>
<CAPTION>
U.S. TREASURY MONEY MARKET FUND VARIABLE RATE GOVERNMENT FUND
................................. .................................
(Unaudited) For the (Unaudited) For the
Six Months Year Ended Six Months Year Ended
Ended December 31, Ended December 31,
June 30, 1996 1995 June 30, 1996 1995
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 7,937,563 $ 11,533,065 $ 15,579,259 $ 46,797,498
Net realized gain (loss) on sale of
investments 20,307 (13,382) (2,575,109) (7,586,997)
Net change in unrealized appreciation
(depreciation) of investments 0 0 (4,066,542) 23,216,208
NET INCREASE (DECREASE) RESULTING FROM
OPERATIONS 7,957,870 11,519,683 8,937,608 62,426,709
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
Class A (5,567,916) (9,781,347) (15,407,046) (46,275,296)
Class D or I (2,369,647) (1,751,718) (172,213) (522,203)
From net realized gain on sales of
investments
Class A 0 0 0 0
Class D or I 0 0 0 0
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold - Class A
(1) 1,372,334,030 746,154,757 2,634,494 12,727,285
Reinvestment of dividends - Class A
(1) 1,862,115 4,323,454 3,205,417 10,963,115
Cost of shares redeemed - Class A (1) (1,166,069,739) (746,737,367) (101,776,643) (600,782,109)
NET INCREASE IN NET ASSETS RESULTING
FROM CAPITAL SHARE TRANSACTIONS - CLASS
A (1) 208,126,406 3,740,844 (95,936,732) (577,091,709)
Proceeds from shares sold - Class D
or I 254,309,553 496,751,048 16,231,357 282,762
Reinvestment of dividends - Class D
or I 2,113,476 1,309,335 86,670 231,329
Cost of shares redeemed - Class D or
I (191,353,773) (438,830,786) (17,661,181) (5,190,680)
NET INCREASE IN NET ASSETS RESULTING
FROM CAPITAL SHARE TRANSACTIONS - CLASS
D OR I 65,069,256 59,229,597 (1,343,154) (4,676,589)
INCREASE (DECREASE) IN NET ASSETS 273,215,969 62,957,059 (103,921,537) (566,139,088)
NET ASSETS:
Beginning net assets 261,886,361 198,929,302 661,626,905 1,227,765,993
ENDING NET ASSETS $ 535,102,330 $ 261,886,361 $ 557,705,368 $ 661,626,905
SHARES ISSUED AND REDEEMED:
Shares sold - Class A (1) 1,372,334,032 746,154,757 281,124 1,367,861
Shares issued in reinvestment of
dividends - Class A (1) 1,862,115 4,323,454 344,519 1,180,210
Shares redeemed - Class A (1) (1,166,066,376) (746,737,367) (10,948,247) (64,851,613)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS A (1) 208,129,771 3,740,844 (10,322,604) (62,303,542)
Shares sold - Class D or I 254,309,552 496,751,048 1,172,699 20,310
Shares issued in reinvestment of
dividends - Class D or I 2,113,476 1,309,335 6,233 16,653
Shares redeemed - Class D or I (191,353,774) (438,830,787) (1,276,053) (373,247)
NET INCREASE (DECREASE) IN SHARES
OUTSTANDING - CLASS D OR I 65,069,254 59,229,596 (97,121) (336,284)
</TABLE>
................................................................................
(1) INCLUDES FUNDS WITH A SINGLE CLASS.
The accompanying notes are an integral part of these financial statements.
99
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
ASSET ALLOCATION FUND
..............................................
CLASS A
..............................................
(Unaudited)
Six Months
Ended Year Ended Year Ended
June 30, 1996 Dec. 31, 1995 Dec. 31, 1994
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $13.76 $10.67 $11.90
------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.11 0.28 0.31
Net realized and unrealized gain (loss) on investments 0.99 3.42 (0.39)
------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS 1.10 3.70 (0.08)
LESS DISTRIBUTIONS:
Dividends from net investment income (0.11) (0.28) (0.31)
Distributions from net realized gain 0.00 (0.33) (0.84)
Tax return of capital 0.00 0.00 0.00
------ ------ ------
TOTAL FROM DISTRIBUTIONS (0.11) (0.61) (1.15)
------- ------- -------
NET ASSET VALUE, END OF PERIOD $14.75 $13.76 $10.67
------- ------- -------
------- ------- -------
TOTAL RETURN (NOT ANNUALIZED)+ 8.00% 34.71% (0.68)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $54,101 $52,007 $40,308
Number of shares outstanding, end of period (000) 3,667 3,778 3,779
RATIOS TO AVERAGE NET ASSETS (ANNUALIZED):
Ratio of expenses to average net assets(1) 1.48% 1.30% 1.30%
Ratio of net investment income to average net assets(2) 1.73% 2.07% 2.41%
Portfolio turnover 34% 47% 50%
Average commission rate paid $0.02 -- --
............................................................................................................
(1) Ratio of expenses to average net assets prior to waived
fees and reimbursed expenses 1.66% 1.35% 1.38%
(2) Ratio of net investment income to average net assets
prior to waived fees and reimbursed expenses 1.56% 2.02% 2.33%
</TABLE>
................................................................................
(3) THIS CLASS COMMENCED OPERATIONS ON JULY 1, 1993.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
100
<PAGE>
<TABLE>
<CAPTION>
ASSET ALLOCATION FUND (CONT.)
..............................................................................................
CLASS D(3)
..............................................
CLASS A (CONT.) (Unaudited)
.............................................. Six Months
Year Ended Year Ended Year Ended Ended Year Ended Year Ended
Dec. 31, 1993 Dec. 31, 1992 Dec. 31, 1991 June 30, 1996 Dec. 31, 1995 Dec. 31, 1994
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $11.45 $11.95 $10.31 $17.10 $13.26 $14.75
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.30 0.47 0.57 0.07 0.20 0.25
Net realized and
unrealized gain (loss)
on investments 1.12 0.36 1.51 1.26 4.24 (0.45)
------ ------ ------ ------ ------ ------
TOTAL FROM INVESTMENT
OPERATIONS 1.42 0.83 2.08 1.33 4.44 (0.20)
LESS DISTRIBUTIONS:
Dividends from net
investment income (0.30) (0.63) (0.44) (0.07) (0.20) (0.25)
Distributions from net
realized gain (0.67) (0.70) 0.00 0.00 (0.40) (1.04)
Tax return of capital 0.00 0.00 0.00 0.00 0.00 0.00
------ ------ ------ ------ ------ ------
TOTAL FROM DISTRIBUTIONS (0.97) (1.33) (0.44) (0.07) (0.60) (1.29)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF
PERIOD $11.90 $11.45 $11.95 $18.37 $17.10 $13.26
------- ------- ------- ------- ------- -------
------- ------- ------- ------- ------- -------
TOTAL RETURN (NOT
ANNUALIZED)+ 12.54% 7.44% 20.69% 7.82% 33.72% (1.38)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $53,124 $41,165 $38,663 $19,914 $16,075 $9,798
Number of shares
outstanding, end of
period (000) 4,465 3,596 3,235 1,084 940 739
RATIOS TO AVERAGE NET ASSETS
(ANNUALIZED):
Ratio of expenses to
average net assets(1) 1.36% 1.25% 1.38% 2.04% 2.05% 2.01%
Ratio of net investment
income to average net
assets(2) 2.64% 4.08% 5.23% 0.80% 1.30% 1.75%
Portfolio turnover 53% 38% 18% 34% 47% 50%
Average commission rate paid -- -- -- $0.02 -- --
............................................................................................................................
(1) Ratio of expenses to
average net assets prior
to waived fees and
reimbursed expenses 1.47% 1.71% 1.56% 2.23% 2.17% 2.20%
(2) Ratio of net investment
income to average net
assets prior to waived
fees and reimbursed
expenses 2.53% 3.62% 5.05% 0.61% 1.18% 1.56%
<CAPTION>
Period Ended
Dec. 31, 1993
<S> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $15.00
-------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.07
Net realized and
unrealized gain (loss)
on investments 0.61
------
TOTAL FROM INVESTMENT
OPERATIONS 0.68
LESS DISTRIBUTIONS:
Dividends from net
investment income (0.10)
Distributions from net
realized gain (0.83)
Tax return of capital 0.00
------
TOTAL FROM DISTRIBUTIONS (0.93)
-------
NET ASSET VALUE, END OF
PERIOD $14.75
-------
-------
TOTAL RETURN (NOT
ANNUALIZED)+ 4.56%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $8,996
Number of shares
outstanding, end of
period (000) 610
RATIOS TO AVERAGE NET ASSETS
(ANNUALIZED):
Ratio of expenses to
average net assets(1) 0.96%
Ratio of net investment
income to average net
assets(2) 0.53%
Portfolio turnover 53%
Average commission rate paid --
............................
(1) Ratio of expenses to
average net assets prior
to waived fees and
reimbursed expenses 1.12%
(2) Ratio of net investment
income to average net
assets prior to waived
fees and reimbursed
expenses 0.37%
</TABLE>
................................................................................
(3) THIS CLASS COMMENCED OPERATIONS ON JULY 1, 1993.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
101
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE BOND FUND
..............................................
CLASS A
..............................................
(Unaudited)
Six Months
Ended Year Ended Year Ended
June 30, 1996 Dec. 31, 1995 Dec. 31, 1994
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.84 $10.20 $11.47
------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.27 0.60 0.64
Net realized and unrealized gain (loss) on investments (0.39) 1.03 (1.13)
------ ------ ------
TOTAL FROM INVESTMENT OPERATIONS (0.12) 1.63 (0.49)
LESS DISTRIBUTIONS:
Dividends from net investment income (0.27) (0.60) (0.64)
Distributions from net realized gain 0.00 (0.39) (0.14)
Tax return of capital 0.00 0.00 0.00
------ ------ ------
TOTAL FROM DISTRIBUTIONS (0.27) (0.99) (0.78)
------- ------- -------
NET ASSET VALUE, END OF PERIOD $10.45 $10.84 $10.20
------- ------- -------
------- ------- -------
TOTAL RETURN (NOT ANNUALIZED)+ (1.13)% 16.38% (4.32)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $246,136 $268,352 $273,105
Number of shares outstanding, end of period (000) 23,546 24,750 26,780
RATIOS TO AVERAGE NET ASSETS (ANNUALIZED):
Ratio of expenses to average net assets(1) 0.72% 0.58% 0.50%
Ratio of net investment income to average net assets(2) 5.08% 5.59% 5.87%
Portfolio turnover 14% 38% 4%
Average commission rate paid $0.00 -- --
............................................................................................................
(1) Ratio of expenses to average net assets prior to waived
fees and reimbursed expenses 0.82% 0.78% 0.95%
(2) Ratio of net investment income to average net assets
prior to waived fees and reimbursed expenses 4.98% 5.39% 5.42%
</TABLE>
................................................................................
(3) THIS CLASS COMMENCED OPERATIONS ON JULY 1, 1993.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
102
<PAGE>
<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE BOND FUND (CONT.)
..............................................................................................
CLASS D(3)
..............................................
CLASS A (CONT.) (Unaudited)
.............................................. Six Months
Year Ended Year Ended Year Ended Ended Year Ended Year Ended
Dec. 31, 1993 Dec. 31, 1992 Dec. 31, 1991 June 30, 1996 Dec. 31, 1995 Dec. 31, 1994
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $10.92 $10.73 $10.27 $14.16 $13.32 $14.98
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.63 0.68 0.69 0.30 0.68 0.73
Net realized and
unrealized gain (loss)
on investments 0.75 0.26 0.46 (0.51) 1.35 (1.47)
------ ------ ------ ------ ------ ------
TOTAL FROM INVESTMENT
OPERATIONS 1.38 0.94 1.15 (0.21) 1.00 (0.74)
LESS DISTRIBUTIONS:
Dividends from net
investment income (0.63) (0.68) (0.69) (0.30) (0.68) (0.73)
Distributions from net
realized gain (0.20) (0.07) 0.00 0.00 (0.51) (0.19)
Tax return of capital 0.00 0.00 0.00 0.00 0.00 0.00
------ ------ ------ ------ ------ ------
TOTAL FROM DISTRIBUTIONS (0.83) (0.75) (0.69) (0.30) (1.19) (0.92)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF
PERIOD $11.47 $10.92 $10.73 $13.65 $14.16 $13.32
------- ------- ------- ------- ------- -------
------- ------- ------- ------- ------- -------
TOTAL RETURN (NOT
ANNUALIZED)+ 12.98% 9.01% 11.62% (1.50)% 15.58% (5.00)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $361,779 $375,376 $332,845 $6,259 $7,063 $7,346
Number of shares
outstanding, end of
period (000) 31,529 34,376 31,008 459 499 552
RATIOS TO AVERAGE NET ASSETS
(ANNUALIZED):
Ratio of expenses to
average net assets(1) 0.69% 0.50% 0.45% 1.46% 1.30% 1.20%
Ratio of net investment
income to average net
assets(2) 5.54% 6.24% 6.56% 4.34% 4.87% 5.15%
Portfolio turnover 10% 24% 8% 14% 38% 4%
Average commission rate paid -- -- -- $0.00 -- --
............................................................................................................................
(1) Ratio of expenses to
average net assets prior
to waived fees and
reimbursed expenses 0.85% 0.85% 0.87% 1.60% 1.57% 1.82%
(2) Ratio of net investment
income to average net
assets prior to waived
fees and reimbursed
expenses 5.38% 5.89% 6.14% 4.21% 4.60% 4.53%
<CAPTION>
Period Ended
Dec. 31, 1993
<S> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $15.00
-------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.34
Net realized and
unrealized gain (loss)
on investments 0.24
------
TOTAL FROM INVESTMENT
OPERATIONS 0.58
LESS DISTRIBUTIONS:
Dividends from net
investment income (0.34)
Distributions from net
realized gain (0.26)
Tax return of capital 0.00
------
TOTAL FROM DISTRIBUTIONS (0.60)
-------
NET ASSET VALUE, END OF
PERIOD $14.98
-------
-------
TOTAL RETURN (NOT
ANNUALIZED)+ 3.92%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $7,641
Number of shares
outstanding, end of
period (000) 510
RATIOS TO AVERAGE NET ASSETS
(ANNUALIZED):
Ratio of expenses to
average net assets(1) 1.32%
Ratio of net investment
income to average net
assets(2) 4.50%
Portfolio turnover 10%
Average commission rate paid --
............................
(1) Ratio of expenses to
average net assets prior
to waived fees and
reimbursed expenses 1.61%
(2) Ratio of net investment
income to average net
assets prior to waived
fees and reimbursed
expenses 4.21%
</TABLE>
................................................................................
(3) THIS CLASS COMMENCED OPERATIONS ON JULY 1, 1993.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
103
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE MONEY MARKET FUND
..............................................
(Unaudited)
Six Months
Ended Year Ended Year Ended
June 30, 1996 Dec. 31, 1995 Dec. 31, 1994
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $1.00 $1.00 $1.00
------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.01 0.03 0.02
Net realized and unrealized gain (loss) on investments 0.00 0.00 0.00
----- ----- -----
TOTAL FROM INVESTMENT OPERATIONS 0.01 0.03 0.02
LESS DISTRIBUTIONS:
Dividends from net investment income (0.01) (0.03) (0.02)
Distributions from net realized gain 0.00 0.00 0.00
Tax return of capital 0.00 0.00 0.00
----- ----- -----
TOTAL FROM DISTRIBUTIONS (0.01) (0.03) (0.02)
------ ------ ------
NET ASSET VALUE, END OF PERIOD $1.00 $1.00 $1.00
------ ------ ------
------ ------ ------
TOTAL RETURN (NOT ANNUALIZED)+ 1.37% 3.25% 2.22%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $322,626 $355,868 $288,409
Number of shares outstanding, end of period (000) 322,684 355,940 288,409
RATIOS TO AVERAGE NET ASSETS (ANNUALIZED):
Ratio of expenses to average net assets(1) 0.63% 0.68% 0.68%
Ratio of net investment income to average net assets(2) 2.73% 3.20% 2.17%
Portfolio turnover N/A N/A N/A
Average commission rate paid $0.00 -- --
............................................................................................................
(1) Ratio of expenses to average net assets prior to waived
fees and reimbursed expenses 0.63% 0.68% 0.70%
(2) Ratio of net investment income to average net assets
prior to waived fees and reimbursed expenses 2.73% 3.20% 2.15%
</TABLE>
................................................................................
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
104
<PAGE>
<TABLE>
<CAPTION>
MONEY MARKET FUND
..............................................
CLASS A
CALIFORNIA TAX-FREE MONEY MARKET FUND (CONT.) ..............................................
(Unaudited)
.............................................. Six Months
Year Ended Year Ended Year Ended Ended Year Ended Year Ended
Dec. 31, 1993 Dec. 31, 1992 Dec. 31, 1991 June 30, 1996 Dec. 31, 1995 Dec. 31, 1994
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
------ ------ ------ ------ ------ ------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.02 0.03 0.04 0.02 0.05 0.04
Net realized and
unrealized gain (loss)
on investments 0.00 0.00 0.00 0.00 0.00 0.00
----- ----- ----- ----- ----- -----
TOTAL FROM INVESTMENT
OPERATIONS 0.02 0.03 0.04 0.02 0.05 0.04
LESS DISTRIBUTIONS:
Dividends from net
investment income (0.02) (0.03) (0.04) (0.02) (0.05) (0.04)
Distributions from net
realized gain 0.00 0.00 0.00 0.00 0.00 0.00
Tax return of capital 0.00 0.00 0.00 0.00 0.00 0.00
----- ----- ----- ----- ----- -----
TOTAL FROM DISTRIBUTIONS (0.02) (0.03) (0.04) (0.02) (0.05) (0.04)
------ ------ ------ ------ ------ ------
NET ASSET VALUE, END OF
PERIOD $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
------ ------ ------ ------ ------ ------
------ ------ ------ ------ ------ ------
TOTAL RETURN (NOT
ANNUALIZED)+ 1.84% 2.54% 3.99% 2.40% 5.44% 3.70%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $397,712 $363,067 $299,234 $400,171 $375,218 $307,878
Number of shares
outstanding, end of
period (000) 397,717 363,069 299,234 400,252 375,364 307,915
RATIOS TO AVERAGE NET ASSETS
(ANNUALIZED):
Ratio of expenses to
average net assets(1) 0.66% 0.66% 0.66% 0.65% 0.65% 0.68%
Ratio of net investment
income to average net
assets(2) 1.82% 2.50% 3.92% 4.76% 5.43% 3.71%
Portfolio turnover N/A N/A N/A 0% N/A N/A
Average commission rate paid -- -- -- $0.00 -- --
............................................................................................................................
(1) Ratio of expenses to
average net assets prior
to waived fees and
reimbursed expenses 0.70% 0.69% 0.70% 0.66% 0.69% 0.72%
(2) Ratio of net investment
income to average net
assets prior to waived
fees and reimbursed
expenses 1.68% 2.47% 3.88% 4.74% 5.39% 3.67%
</TABLE>
................................................................................
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
105
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
MONEY MARKET FUND (CONT.)
..............................................
CLASS A (CONT.)
..............................................
Year Ended Year Ended Year Ended
Dec. 31, 1993 Dec. 31, 1992 Dec. 31, 1991
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $1.00 $1.00 $1.00
------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.03 0.03 0.06
Net realized and unrealized gain (loss) on investments 0.00 0.00 0.00
----- ----- -----
TOTAL FROM INVESTMENT OPERATIONS 0.03 0.03 0.06
LESS DISTRIBUTIONS:
Dividends from net investment income (0.03) (0.03) (0.06)
Distributions from net realized gain 0.00 0.00 0.00
Tax return of capital 0.00 0.00 0.00
----- ----- -----
TOTAL FROM DISTRIBUTIONS (0.03) (0.03) (0.06)
------ ------ ------
NET ASSET VALUE, END OF PERIOD $1.00 $1.00 $1.00
------ ------ ------
------ ------ ------
TOTAL RETURN (NOT ANNUALIZED)+ 2.57% 3.23% 5.65%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $228,084 $268,424 $229,863
Number of shares outstanding, end of period (000) 228,085 268,434 229,866
RATIOS TO AVERAGE NET ASSETS (ANNUALIZED):
Ratio of expenses to average net assets(1) 0.74% 0.75% 0.74%
Ratio of net investment income to average net assets(2) 2.54% 3.17% 5.54%
Portfolio turnover N/A N/A N/A
Average commission rate paid -- -- --
............................................................................................................
(1) Ratio of expenses to average net assets prior to waived
fees and reimbursed expenses 0.74% 0.75% 0.75%
(2) Ratio of net investment income to average net assets
prior to waived fees and reimbursed expenses 2.54% 3.17% 5.53%
</TABLE>
................................................................................
(3) THIS CLASS COMMENCED OPERATIONS ON AUGUST 18, 1994.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
106
<PAGE>
<TABLE>
<CAPTION>
MONEY MARKET FUND (CONT.) MUNICIPAL INCOME FUND
.............................................. ..............................................
CLASS I(3) CLASS A
.............................................. ..............................................
(Unaudited) (Unaudited)
Six Months Six Months
Ended Year Ended Period Ended Ended Year Ended Year Ended
June 30, 1996 Dec. 31, 1995 Dec. 31, 1994 June 30, 1996 Dec. 31, 1995 Dec. 31, 1994
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $1.00 $1.00 $1.00 $10.93 $9.91 $11.27
------ ------ ------ ------- ------ -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.02 0.06 0.02 0.29 0.57 0.60
Net realized and
unrealized gain (loss)
on investments 0.00 0.00 0.00 (0.36) 1.02 (1.36)
----- ----- ----- ------ ----- ------
TOTAL FROM INVESTMENT
OPERATIONS 0.02 0.06 0.02 (0.07) 1.59 (0.76)
LESS DISTRIBUTIONS:
Dividends from net
investment income (0.02) (0.06) (0.02) (0.29) (0.57) (0.60)
Distributions from net
realized gain 0.00 0.00 0.00 0.00 0.00 0.00
Tax return of capital 0.00 0.00 0.00 0.00 0.00 0.00
----- ----- ----- ------ ----- ------
TOTAL FROM DISTRIBUTIONS (0.02) (0.06) (0.02) (0.29) (0.57) (0.60)
------ ------ ------ ------- ------ -------
NET ASSET VALUE, END OF
PERIOD $1.00 $1.00 $1.00 $10.57 $10.93 $9.91
------ ------ ------ ------- ------ -------
------ ------ ------ ------- ------ -------
TOTAL RETURN (NOT
ANNUALIZED)+ 2.52% 5.71% 1.83% (0.68)% 16.45% (6.82)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $594,758 $324,175 $11,237 $51,902 $58,440 $73,791
Number of shares
outstanding, end of
period (000) 594,760 324,222 11,238 4,909 5,347 7,446
RATIOS TO AVERAGE NET ASSETS
(ANNUALIZED):
Ratio of expenses to
average net assets(1) 0.40% 0.39% 0.38% 0.80% 0.71% 0.43%
Ratio of net investment
income to average net
assets(2) 5.00% 5.70% 5.05% 5.37% 5.49% 5.77%
Portfolio turnover N/A N/A N/A 0% 14% 32%
Average commission rate paid -- -- -- $0.00 -- --
............................................................................................................................
(1) Ratio of expenses to
average net assets prior
to waived fees and
reimbursed expenses 0.41% 0.45% 0.55% 0.65% 1.09% 0.98%
(2) Ratio of net investment
income to average net
assets prior to waived
fees and reimbursed
expenses 4.98% 5.64% 4.88% 5.51% 5.11% 5.22%
<CAPTION>
Year Ended
Dec. 31, 1993
<S> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $10.56
-------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.64
Net realized and
unrealized gain (loss)
on investments 0.71
------
TOTAL FROM INVESTMENT
OPERATIONS 1.35
LESS DISTRIBUTIONS:
Dividends from net
investment income (0.64)
Distributions from net
realized gain 0.00
Tax return of capital 0.00
------
TOTAL FROM DISTRIBUTIONS (0.64)
-------
NET ASSET VALUE, END OF
PERIOD $11.27
-------
-------
TOTAL RETURN (NOT
ANNUALIZED)+ 13.11%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $104,701
Number of shares
outstanding, end of
period (000) 9,294
RATIOS TO AVERAGE NET ASSETS
(ANNUALIZED):
Ratio of expenses to
average net assets(1) 0.39%
Ratio of net investment
income to average net
assets(2) 5.56%
Portfolio turnover 15%
Average commission rate paid --
............................
(1) Ratio of expenses to
average net assets prior
to waived fees and
reimbursed expenses 1.09%
(2) Ratio of net investment
income to average net
assets prior to waived
fees and reimbursed
expenses 4.86%
</TABLE>
................................................................................
(3) THIS CLASS COMMENCED OPERATIONS ON AUGUST 18, 1994.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
107
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
MUNICIPAL INCOME FUND (CONT.)
..............................
CLASS A (CONT.)
..............................
Year Ended Year Ended
Dec. 31, 1992 Dec. 31, 1991
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.25 $10.00
------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.66 0.28
Net realized and unrealized gain (loss) on investments 0.32 0.25
------ ------
TOTAL FROM INVESTMENT OPERATIONS 0.98 0.53
LESS DISTRIBUTIONS:
Dividends from net investment income (0.66) (0.28)
Distributions from net realized gain (0.01) 0.00
Tax return of capital 0.00 0.00
------ ------
TOTAL FROM DISTRIBUTIONS (0.67) (0.28)
------- -------
NET ASSET VALUE, END OF PERIOD $10.56 $10.25
------- -------
------- -------
TOTAL RETURN (NOT ANNUALIZED)+ 9.94% 5.81%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $52,553 $16,585
Number of shares outstanding, end of period (000) 4,976 1,618
RATIOS TO AVERAGE NET ASSETS (ANNUALIZED):
Ratio of expenses to average net assets(1) 0.23% 0.00%
Ratio of net investment income to average net assets(2) 6.05% 6.38%
Portfolio turnover 67% 5%
Average commission rate paid -- --
...........................................................................................................
(1) Ratio of expenses to average net assets prior to waived fees and
reimbursed expenses 1.20% 3.02%
(2) Ratio of net investment income to average net assets prior to waived
fees and reimbursed expenses 5.08% 3.36%
</TABLE>
................................................................................
(3) THIS CLASS COMMENCED OPERATIONS ON JULY 1, 1993.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
108
<PAGE>
<TABLE>
<CAPTION>
MUNICIPAL INCOME FUND (CONT.)
.............................................................. SHORT-TERM GOVERNMENT-
CLASS D(3) CORPORATE INCOME FUND
.............................................................. ..............................
(Unaudited) (Unaudited)
Six Months Six Months
Ended Year Ended Year Ended Period Ended Ended Year Ended
June 30, 1996 Dec. 31, 1995 Dec. 31, 1994 Dec. 31, 1993 June 30, 1996 Dec. 31, 1995
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $14.80 $13.42 $15.26 $15.00 $5.02 $4.93
------- ------- ------- ------- ------ ------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.34 0.69 0.73 0.36 0.14 0.30
Net realized and
unrealized gain (loss)
on investments (0.48) 1.38 (1.84) 0.26 (0.05) 0.09
------ ------ ------ ------ ----- -----
TOTAL FROM INVESTMENT
OPERATIONS (0.14) 2.07 (1.11) 0.62 0.09 0.39
LESS DISTRIBUTIONS:
Dividends from net
investment income (0.34) (0.69) (0.73) (0.36) (0.14) (0.30)
Distributions from net
realized gain 0.00 0.00 0.00 0.00 0.00 0.00
Tax return of capital 0.00 0.00 0.00 0.00 0.00 0.00
------ ------ ------ ------ ----- -----
TOTAL FROM DISTRIBUTIONS (0.34) (0.69) (0.73) (0.36) (0.14) (0.30)
------- ------- ------- ------- ------ ------
NET ASSET VALUE, END OF
PERIOD $14.32 $14.80 $13.42 $15.26 $4.97 $5.02
------- ------- ------- ------- ------ ------
------- ------- ------- ------- ------ ------
TOTAL RETURN (NOT
ANNUALIZED)+ (0.92)% 15.75% (7.37)% 4.19% 1.77% 8.05%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $10,958 $12,271 $15,545 $14,771 $18,449 $5,954
Number of shares
outstanding, end of
period (000) 765 829 1,158 968 3,708 1,185
RATIOS TO AVERAGE NET ASSETS
(ANNUALIZED):
Ratio of expenses to
average net assets(1) 1.40% 1.32% 1.02% 1.13% 0.32% 0.30%
Ratio of net investment
income to average net
assets(2) 4.77% 4.88% 5.17% 4.14% 5.53% 6.01%
Portfolio turnover 0% 14% 32% 15% N/A N/A
Average commission rate paid $0.00 -- -- -- $0.00 --
............................................................................................................................
(1) Ratio of expenses to
average net assets prior
to waived fees and
reimbursed expenses 0.70% 1.78% 1.74% 1.84% 1.16% 6.79%
(2) Ratio of net investment
income to average net
assets prior to waived
fees and reimbursed
expenses 5.47% 4.42% 4.45% 3.43% 4.69% (0.48)%
<CAPTION>
From Sept. 19,
1994
(inception) to
Dec. 31, 1994
<S> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $5.00
------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.08
Net realized and
unrealized gain (loss)
on investments (0.07)
-----
TOTAL FROM INVESTMENT
OPERATIONS 0.01
LESS DISTRIBUTIONS:
Dividends from net
investment income (0.08)
Distributions from net
realized gain 0.00
Tax return of capital 0.00
-----
TOTAL FROM DISTRIBUTIONS (0.08)
------
NET ASSET VALUE, END OF
PERIOD $4.93
------
------
TOTAL RETURN (NOT
ANNUALIZED)+ 0.28%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $96
Number of shares
outstanding, end of
period (000) 20
RATIOS TO AVERAGE NET ASSETS
(ANNUALIZED):
Ratio of expenses to
average net assets(1) 0.30%
Ratio of net investment
income to average net
assets(2) 5.77%
Portfolio turnover N/A
Average commission rate paid --
............................
(1) Ratio of expenses to
average net assets prior
to waived fees and
reimbursed expenses 67.89%
(2) Ratio of net investment
income to average net
assets prior to waived
fees and reimbursed
expenses (61.82)%
</TABLE>
................................................................................
(3) THIS CLASS COMMENCED OPERATIONS ON JULY 1, 1993.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
109
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
SHORT-TERM MUNICIPAL INCOME FUND
..............................................
(Unaudited) From June 30,
Six Months 1994
Ended Year Ended (inception) to
June 30, 1996 Dec. 31, 1995 Dec. 31, 1994
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $4.99 $4.92 $5.00
------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.11 0.22 0.09
Net realized and unrealized gain (loss) on investments 0.07 0.07 (0.08)
----- ----- -----
TOTAL FROM INVESTMENT OPERATIONS 0.18 0.29 0.01
LESS DISTRIBUTIONS:
Dividends from net investment income (0.11) (0.22) (0.09)
Distributions from net realized gain 0.00 0.00 0.00
Tax return of capital 0.00 0.00 0.00
----- ----- -----
TOTAL FROM DISTRIBUTIONS (0.11) (0.22) (0.09)
------ ------ ------
NET ASSET VALUE, END OF PERIOD $4.99 $4.99 $4.92
------ ------ ------
------ ------ ------
TOTAL RETURN (NOT ANNUALIZED)+ 1.40% 6.10% 0.13%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $14,808 $16,486 $11,778
Number of shares outstanding, end of period (000) 2,968 3,302 2,392
RATIOS TO AVERAGE NET ASSETS (ANNUALIZED):
Ratio of expenses to average net assets(1) 0.35% 0.38% 0.27%
Ratio of net investment income to average net assets(2) 4.56% 4.38% 3.67%
Portfolio turnover N/A N/A N/A
Average commission rate paid $0.00 -- --
............................................................................................................
(1) Ratio of expenses to average net assets prior to waived
fees and reimbursed expenses 0.72% 1.97% 1.98%
(2) Ratio of net investment income to average net assets
prior to waived fees and reimbursed expenses 4.19% 2.80% 1.96%
</TABLE>
................................................................................
(3) THIS RATIO INCLUDES INCOME AND EXPENSES CHARGED TO THE MASTER
PORTFOLIO.
(4) THIS RATIO IS FOR THE PERIOD FROM JANUARY 1, 1996 TO FEBRUARY 20,
1996. AS OF FEBRUARY 21, 1996 THE FUND INVESTS ALL OF ITS ASSETS IN
THE CORRESPONDING MASTER PORTFOLIO, HENCE NO SECURITIES-RELATED
ACTIVITY.
(5) THE FUND COMMENCED OPERATIONS ON JANUARY 20, 1993.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
110
<PAGE>
<TABLE>
<CAPTION>
STRATEGIC GROWTH FUND
..............................................................................................
CLASS A(5) CLASS D
.............................................................. ..............................
(Unaudited) (Unaudited)
Six Months Six Months
Ended Year Ended Year Ended Period Ended Ended Year Ended
June 30, 1996 Dec. 31, 1995 Dec. 31, 1994 Dec. 31, 1993 June 30, 1996 Dec. 31, 1995
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $16.82 $13.29 $13.20 $10.00 $20.79 $16.55
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) (0.02) (0.04) (0.11) (0.03) 0.05 (0.16)
Net realized and
unrealized gain (loss)
on investments 2.76 5.66 0.67 3.68 3.25 6.99
------ ------ ------ ------ ------ ------
TOTAL FROM INVESTMENT
OPERATIONS 2.74 5.62 0.56 3.65 3.29 6.83
LESS DISTRIBUTIONS:
Dividends from net
investment income 0.00 0.00 (0.33) (0.03) 0.00 0.00
Distributions from net
realized gain 0.00 (2.09) 0.00 (0.41) 0.00 (2.58)
Tax return of capital 0.00 0.00 (0.14) (0.01) 0.00 0.00
------ ------ ------ ------ ------ ------
TOTAL FROM DISTRIBUTIONS 0.00 (2.09) (0.47) (0.45) 0.00 (2.58)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF
PERIOD $19.56 $16.82 $13.29 $13.20 $24.08 $20.79
------- ------- ------- ------- ------- -------
------- ------- ------- ------- ------- -------
TOTAL RETURN (NOT
ANNUALIZED)+ 16.29% 42.51% 4.23% 36.56% 15.82% 41.54%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $92,843 $59,016 $26,744 $25,413 $51,388 $26,326
Number of shares
outstanding, end of
period (000) 4,746 3,508 2,013 1,926 2,134 1,266
RATIOS TO AVERAGE NET ASSETS
(ANNUALIZED):
Ratio of expenses to
average net assets(1) 0.78%(3) 1.28% 1.20% 0.66% 1.51%(3) 2.02%
Ratio of net investment
income to average net
assets(2) (0.80)%(3) (0.76)% (0.81)% (0.01)% (1.54)%(3) (1.49)%
Portfolio turnover 10%(4) 171% 149% 182% 10%(4) 171%
Average commission rate paid $0.08 -- -- -- $0.08 --
............................................................................................................................
(1) Ratio of expenses to
average net assets prior
to waived fees and
reimbursed expenses 0.68% 1.38% 1.55% 1.64% 1.30% 2.09%
(2) Ratio of net investment
income to average net
assets prior to waived
fees and reimbursed
expenses (0.70)% (0.86)% (1.16)% (0.99)% (1.32)% (1.56)%
</TABLE>
................................................................................
(3) THIS RATIO INCLUDES INCOME AND EXPENSES CHARGED TO THE MASTER
PORTFOLIO.
(4) THIS RATIO IS FOR THE PERIOD FROM JANUARY 1, 1996 TO FEBRUARY 20,
1996. AS OF FEBRUARY 21, 1996 THE FUND INVESTS ALL OF ITS ASSETS IN
THE CORRESPONDING MASTER PORTFOLIO, HENCE NO SECURITIES-RELATED
ACTIVITY.
(5) THE FUND COMMENCED OPERATIONS ON JANUARY 20, 1993.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
111
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
STRATEGIC GROWTH FUND (CONT.)
..............................
CLASS D (CONT.)
..............................
Period Ended
Year Ended Dec. 31,
Dec. 31, 1994 1993(3)
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $16.55 $15.00
------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.24) (0.43)
Net realized and unrealized gain (loss) on investments 0.81 2.51
------ ------
TOTAL FROM INVESTMENT OPERATIONS 0.57 2.08
LESS DISTRIBUTIONS:
Dividends from net investment income (0.40) 0.00
Distributions from net realized gain 0.00 (0.53)
Tax return of capital (0.18) 0.00
------ ------
TOTAL FROM DISTRIBUTIONS (0.58) (0.53)
------- -------
NET ASSET VALUE, END OF PERIOD $16.54 $16.55
------- -------
------- -------
TOTAL RETURN (NOT ANNUALIZED)+ 3.46% 13.84%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $15,335 $11,932
Number of shares outstanding, end of period (000) 927 721
RATIOS TO AVERAGE NET ASSETS (ANNUALIZED):
Ratio of expenses to average net assets(1) 1.95% 0.61%
Ratio of net investment income to average net assets(2) (1.56)% (1.00)%
Portfolio turnover 149% 182%
Average commission rate paid -- --
...........................................................................................................
(1) Ratio of expenses to average net assets prior to waived fees and
reimbursed expenses 2.23% 2.14%
(2) Ratio of net investment income to average net assets prior to waived
fees and reimbursed expenses (1.84)% (2.53)%
</TABLE>
................................................................................
(3) THIS CLASS COMMENCED OPERATIONS ON JULY 1, 1993.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
112
<PAGE>
<TABLE>
<CAPTION>
U.S. GOVERNMENT
INCOME FUND
..............................................................................................
CLASS A
..............................................................................................
(Unaudited)
Six Months
Ended Year Ended Year Ended Year Ended Year Ended Year Ended
June 30, 1996 Dec. 31, 1995 Dec. 31, 1994 Dec. 31, 1993 Dec. 31, 1992 Dec. 31, 1991
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $10.45 $9.66 $10.87 $10.56 $10.97 $10.30
------- ------ ------- ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.32 0.69 0.70 0.74 0.79 0.86
Net realized and
unrealized gain (loss)
on investments (0.77) 1.12 (1.21) 0.36 (0.14) 0.90
------ ----- ------ ------ ------ ------
TOTAL FROM INVESTMENT
OPERATIONS (0.45) 1.81 (0.51) 1.10 0.65 1.76
LESS DISTRIBUTIONS:
Dividends from net
investment income (0.32) (0.69) (0.70) (0.74) (0.79) (0.86)
Distributions from net
realized gain 0.00 0.00 0.00 (0.05) (0.27) (0.23)
Tax return of capital 0.00 0.00 0.00 0.00 0.00 0.00
------ ----- ------ ------ ------ ------
TOTAL FROM DISTRIBUTIONS (0.32) (0.69) (0.70) (0.79) (1.06) (1.09)
------- ------ ------- ------- ------- -------
NET ASSET VALUE, END OF
PERIOD $10.01 $10.78 $9.66 $10.87 $10.56 $10.97
------- ------ ------- ------- ------- -------
------- ------ ------- ------- ------- -------
TOTAL RETURN (NOT
ANNUALIZED)+ (4.22)% 19.32% (4.81)% 10.67% 6.27% 18.08%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $26,095 $30,471 $35,838 $50,301 $40,883 $20,457
Number of shares
outstanding, end of
period (000) 2,607 2,826 3,711 4,628 3,871 1,865
RATIOS TO AVERAGE NET ASSETS
(ANNUALIZED):
Ratio of expenses to
average net assets(1) 0.90% 0.88% 0.76% 0.53% 0.47% 0.00%
Ratio of net investment
income to average net
assets(2) 6.19% 6.79% 6.84% 6.79% 6.26% 8.30%
Portfolio turnover 64% 95% 50% 115% 128% 100%
Average commission rate paid $0.00 -- -- -- -- --
............................................................................................................................
(1) Ratio of expenses to
average net assets prior
to waived fees and
reimbursed expenses 1.52% 1.24% 1.08% 1.01% 1.13% 1.87%
(2) Ratio of net investment
income to average net
assets prior to waived
fees and reimbursed
expenses 5.57% 6.44% 6.52% 6.31% 5.60% 6.43%
</TABLE>
................................................................................
(3) THIS CLASS COMMENCED OPERATIONS ON JULY 1, 1993.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
113
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
U.S. GOVERNMENT
INCOME FUND (CONT.)
..............................
CLASS D(3)
..............................
(Unaudited)
Six Months
Ended Year Ended
June 30, 1996 Dec. 31, 1995
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $14.74 $13.20
------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.38 0.85
Net realized and unrealized gain (loss) on investments (1.06) 1.54
------ ------
TOTAL FROM INVESTMENT OPERATIONS (0.67) 2.39
LESS DISTRIBUTIONS:
Dividends from net investment income (0.38) (0.85)
Distributions from net realized gain 0.00 0.00
Tax return of capital 0.00 0.00
------ ------
TOTAL FROM DISTRIBUTIONS (0.38) (0.85)
------- -------
NET ASSET VALUE, END OF PERIOD $13.69 $14.74
------- -------
------- -------
TOTAL RETURN (NOT ANNUALIZED)+ (4.56)% 18.54%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $2,362 $2,793
Number of shares outstanding, end of period (000) 173 189
RATIOS TO AVERAGE NET ASSETS (ANNUALIZED):
Ratio of expenses to average net assets(1) 1.65% 1.62%
Ratio of net investment income to average net assets(2) 5.45% 6.07%
Portfolio turnover 64% 95%
Average commission rate paid $0.00 --
...........................................................................................................
(1) Ratio of expenses to average net assets prior to waived fees and
reimbursed expenses 2.84% 2.29%
(2) Ratio of net investment income to average net assets prior to waived
fees and reimbursed expenses 4.26% 5.40%
</TABLE>
................................................................................
(3) THIS CLASS COMMENCED OPERATIONS ON JULY 1, 1993.
(4) THE FUND COMMENCED OPERATIONS ON MAY 12, 1992.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
114
<PAGE>
<TABLE>
<CAPTION>
U.S. TREASURY MONEY MARKET FUND
U.S. GOVERNMENT ..............................................................
INCOME FUND (CONT.)
.............................. CLASS A(4)
..............................................................
CLASS D(3) (CONT.) (Unaudited)
.............................. Six Months
Year Ended Period Ended Ended Year Ended Year Ended Year Ended
Dec. 31, 1994 Dec. 31, 1993 June 30, 1996 Dec. 31, 1995 Dec. 31, 1994 Dec. 31, 1993
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $14.85 $15.00 $1.00 $1.00 $1.00 $1.00
------- ------- ------ ------ ------ ------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.86 0.42 0.02 0.05 0.03 0.03
Net realized and
unrealized gain (loss)
on investments (1.65) (0.08) 0.00 0.00 0.00 0.00
------ ------ ----- ----- ----- -----
TOTAL FROM INVESTMENT
OPERATIONS (0.79) 0.34 0.02 0.05 0.03 0.03
LESS DISTRIBUTIONS:
Dividends from net
investment income (0.86) (0.42) (0.02) (0.05) (0.03) (0.03)
Distributions from net
realized gain 0.00 (0.07) 0.00 0.00 0.00 0.00
Tax return of capital 0.00 0.00 0.00 0.00 0.00 0.00
------ ------ ----- ----- ----- -----
TOTAL FROM DISTRIBUTIONS (0.86) (0.49) (0.02) (0.05) (0.03) (0.03)
------- ------- ------ ------ ------ ------
NET ASSET VALUE, END OF
PERIOD $13.20 $14.85 $1.00 $1.00 $1.00 $1.00
------- ------- ------ ------ ------ ------
------- ------- ------ ------ ------ ------
TOTAL RETURN (NOT
ANNUALIZED)+ (5.45)% 2.25% 2.24% 5.09% 3.44% 2.56%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $3,722 $9,594 $406,891 $198,753 $195,031 $118,169
Number of shares
outstanding, end of
period (000) 282 646 406,912 198,782 195,042 118,169
RATIOS TO AVERAGE NET ASSETS
(ANNUALIZED):
Ratio of expenses to
average net assets(1) 1.37% 0.90% 0.63% 0.65% 0.63% 0.52%
Ratio of net investment
income to average net
assets(2) 6.14% 5.90% 4.46% 4.97% 3.47% 2.55%
Portfolio turnover 50% 115% N/A N/A N/A N/A
Average commission rate paid -- -- $0.00 -- -- --
............................................................................................................................
(1) Ratio of expenses to
average net assets prior
to waived fees and
reimbursed expenses 1.87% 2.03% 0.60% 0.73% 0.80% 0.77%
(2) Ratio of net investment
income to average net
assets prior to waived
fees and reimbursed
expenses 5.64% 4.77% 4.49% 4.89% 3.30% 2.30%
<CAPTION>
Period Ended
Dec. 31, 1992
<S> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $1.00
------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.02
Net realized and
unrealized gain (loss)
on investments 0.00
-----
TOTAL FROM INVESTMENT
OPERATIONS 0.02
LESS DISTRIBUTIONS:
Dividends from net
investment income (0.02)
Distributions from net
realized gain 0.00
Tax return of capital 0.00
-----
TOTAL FROM DISTRIBUTIONS (0.02)
------
NET ASSET VALUE, END OF
PERIOD $1.00
------
------
TOTAL RETURN (NOT
ANNUALIZED)+ 1.97%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $137,412
Number of shares
outstanding, end of
period (000) 137,416
RATIOS TO AVERAGE NET ASSETS
(ANNUALIZED):
Ratio of expenses to
average net assets(1) 0.27%
Ratio of net investment
income to average net
assets(2) 3.12%
Portfolio turnover N/A
Average commission rate paid --
............................
(1) Ratio of expenses to
average net assets prior
to waived fees and
reimbursed expenses 0.79%
(2) Ratio of net investment
income to average net
assets prior to waived
fees and reimbursed
expenses 2.60%
</TABLE>
................................................................................
(3) THIS CLASS COMMENCED OPERATIONS ON JULY 1, 1993.
(4) THE FUND COMMENCED OPERATIONS ON MAY 12, 1992.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
115
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
U.S. TREASURY MONEY MARKET FUND (CONT.)
..............................................
CLASS I(3)
..............................................
(Unaudited)
Six Months
Ended Year Ended Period Ended
June 30, 1996 Dec. 31, 1995 Dec. 31, 1994
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $1.00 $1.00 $1.00
------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.02 0.05 0.02
Net realized and unrealized gain (loss) on investments 0.00 0.00 0.00
----- ----- -----
TOTAL FROM INVESTMENT OPERATIONS 0.02 0.05 0.02
LESS DISTRIBUTIONS:
Dividends from net investment income (0.02) (0.05) (0.02)
Distributions from net realized gain 0.00 0.00 0.00
Tax return of capital 0.00 0.00 0.00
----- ----- -----
TOTAL FROM DISTRIBUTIONS (0.02) (0.05) (0.02)
------ ------ ------
NET ASSET VALUE, END OF PERIOD $1.00 $1.00 $1.00
------ ------ ------
------ ------ ------
TOTAL RETURN (NOT ANNUALIZED)+ 2.37% 5.35% 2.00%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $128,211 $63,134 $3,898
Number of shares outstanding, end of period (000) 128,199 63,130 3,900
RATIOS TO AVERAGE NET ASSETS (ANNUALIZED):
Ratio of expenses to average net assets(1) 0.39% 0.39% 0.23%
Ratio of net investment income to average net assets(2) 4.70% 5.16% 4.42%
Portfolio turnover N/A N/A N/A
Average commission rate paid $0.00 -- --
............................................................................................................
(1) Ratio of expenses to average net assets prior to waived
fees and reimbursed expenses 0.32% 0.49% 0.57%
(2) Ratio of net investment income to average net assets
prior to waived fees and reimbursed expenses 4.77% 5.06% 4.08%
</TABLE>
................................................................................
(3) THIS CLASS COMMENCED OPERATIONS ON JUNE 20, 1994.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
116
<PAGE>
<TABLE>
<CAPTION>
VARIABLE RATE GOVERNMENT FUND
..............................................................................................
CLASS A
..............................................................................................
(Unaudited)
Six Months
Ended Year Ended Year Ended Year Ended Year Ended Year Ended
June 30, 1996 Dec. 31, 1995 Dec. 31, 1994 Dec. 31, 1993 Dec. 31, 1992 Dec. 31, 1991
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $9.35 $9.19 $9.99 $9.95 $10.13 $10.12
------ ------ ------ ------ ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.24 0.53 0.43 0.44 0.59 0.78
Net realized and
unrealized gain (loss)
on investments (0.10) 0.16 (0.80) 0.04 (0.18) 0.01
----- ----- ----- ----- ------ ------
TOTAL FROM INVESTMENT
OPERATIONS 0.14 0.69 (0.37) 0.48 0.41 0.79
LESS DISTRIBUTIONS:
Dividends from net
investment income (0.24) (0.53) (0.43) (0.44) (0.59) (0.78)
Distributions from net
realized gain 0.00 0.00 0.00 0.00 0.00 0.00
Tax return of capital 0.00 0.00 0.00 0.00 0.00 0.00
----- ----- ----- ----- ------ ------
TOTAL FROM DISTRIBUTIONS (0.24) (0.53) (0.43) (0.44) (0.59) (0.78)
------ ------ ------ ------ ------- -------
NET ASSET VALUE, END OF
PERIOD $9.25 $9.35 $9.19 $9.99 $9.95 $10.13
------ ------ ------ ------ ------- -------
------ ------ ------ ------ ------- -------
TOTAL RETURN (NOT
ANNUALIZED)+ 1.51% 7.69% (3.81)% 4.87% 4.23% 8.60%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $551,401 $653,897 $1,215,546 $1,949,013 $2,559,363 $566,840
Number of shares
outstanding, end of
period (000) 59,629 69,952 132,256 195,132 257,238 55,933
RATIOS TO AVERAGE NET ASSETS
(ANNUALIZED):
Ratio of expenses to
average net assets(1) 0.88% 0.84% 0.79% 0.76% 0.75% 0.50%
Ratio of net investment
income to average net
assets(2) 5.16% 5.71% 4.40% 4.37% 5.62% 7.36%
Portfolio turnover 198% 317% 164% 201% 197% 250%
Average commission rate paid $0.00 -- -- -- -- --
............................................................................................................................
(1) Ratio of expenses to
average net assets prior
to waived fees and
reimbursed expenses 0.87% 0.96% 0.94% 0.95% 0.94% 1.08%
(2) Ratio of net investment
income to average net
assets prior to waived
fees and reimbursed
expenses 5.17% 5.59% 4.25% 4.18% 5.43% 6.78%
</TABLE>
................................................................................
(3) THIS CLASS COMMENCED OPERATIONS ON JUNE 20, 1994.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
117
<PAGE>
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<TABLE>
<CAPTION>
VARIABLE RATE GOVERNMENT FUND
(CONT.)
..............................
CLASS D(3)
..............................
(Unaudited)
Six Months
Ended Year Ended
June 30, 1996 Dec. 31, 1995
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $13.97 $13.74
------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.32 0.73
Net realized and unrealized gain (loss) on investments (0.15) 0.23
------ ------
TOTAL FROM INVESTMENT OPERATIONS 0.17 0.96
LESS DISTRIBUTIONS:
Dividends from net investment income (0.32) (0.73)
Distributions from net realized gain 0.00 0.00
Tax return of capital 0.00 0.00
------ ------
TOTAL FROM DISTRIBUTIONS (0.32) (0.73)
------- -------
NET ASSET VALUE, END OF PERIOD $13.82 $13.97
------- -------
------- -------
TOTAL RETURN (NOT ANNUALIZED)+ 1.25% 7.08%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000) $6,304 $7,730
Number of shares outstanding, end of period (000) 456 553
RATIOS TO AVERAGE NET ASSETS (ANNUALIZED):
Ratio of expenses to average net assets(1) 1.39% 1.35%
Ratio of net investment income to average net assets(2) 4.67% 5.23%
Portfolio turnover 198% 317%
Average commission rate paid $0.00 --
...........................................................................................................
(1) Ratio of expenses to average net assets prior to waived fees and
reimbursed expenses 0.31% 1.64%
(2) Ratio of net investment income to average net assets prior to waived
fees and reimbursed expenses 5.75% 4.95%
</TABLE>
................................................................................
(3) THIS CLASS COMMENCED OPERATIONS ON JULY 1, 1993.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
118
<PAGE>
<TABLE>
<CAPTION>
VARIABLE RATE GOVERNMENT FUND
(CONT.)
..............................
CLASS D(3) (CONT.)
..............................
Year Ended Period Ended
Dec. 31, 1994 Dec. 31, 1993
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $14.93 $15.00
------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) 0.57 0.27
Net realized and
unrealized gain (loss)
on investments (1.19) (0.07)
------ ------
TOTAL FROM INVESTMENT
OPERATIONS (0.62) 0.20
LESS DISTRIBUTIONS:
Dividends from net
investment income (0.57) (0.27)
Distributions from net
realized gain 0.00 0.00
Tax return of capital 0.00 0.00
------ ------
TOTAL FROM DISTRIBUTIONS (0.57) (0.27)
------- -------
NET ASSET VALUE, END OF
PERIOD $13.74 $14.93
------- -------
------- -------
TOTAL RETURN (NOT
ANNUALIZED)+ (4.25)% 1.32%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000) $12,220 $11,319
Number of shares
outstanding, end of
period (000) 889 758
RATIOS TO AVERAGE NET ASSETS
(ANNUALIZED):
Ratio of expenses to
average net assets(1) 1.29% 1.26%
Ratio of net investment
income to average net
assets(2) 3.94% 3.41%
Portfolio turnover 164% 201%
Average commission rate paid -- --
............................................................................................................
(1) Ratio of expenses to
average net assets prior
to waived fees and
reimbursed expenses 1.55% 1.75%
(2) Ratio of net investment
income to average net
assets prior to waived
fees and reimbursed
expenses 3.68% 2.92%
</TABLE>
................................................................................
(3) THIS CLASS COMMENCED OPERATIONS ON JULY 1, 1993.
+ TOTAL RETURNS DO NOT INCLUDE ANY SALES CHARGES.
119
<PAGE>
OVERLAND EXPRESS FUNDS, INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
Overland Express Funds, Inc. (the "Company") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end series
investment company. The Company commenced operations on April 7, 1988 and
includes eleven separate diversified funds: the Asset Allocation, Money Market,
Municipal Income, National Tax-Free Institutional Money Market, Overland Sweep,
Short-Term Government-Corporate Income, Short-Term Municipal Income, Strategic
Growth, U.S. Government Income, U.S. Treasury Money Market and Variable Rate
Government Funds, and two non-diversified funds: the California Tax-Free Bond
and California Tax-Free Money Market Funds. The financial statements and notes
for the Overland Sweep Fund and the National Tax-Free Institutional Money Market
Fund are presented separately.
Each of the funds presented in this book (the "Funds"), with the exception of
the Money Market, California Tax-Free Money Market, Short-Term
Government-Corporate Income, Short-Term Municipal Income and U.S. Treasury Money
Market Funds, commenced offering Class D shares on July 1, 1993. The U.S.
Treasury Money Market and Money Market Funds commenced offering Class I shares
on June 20, 1994 and August 18, 1994, respectively. The Short-Term
Government-Corporate Income and Short-Term Municipal Income Funds each offers a
single class of shares. The three classes of shares differ principally in their
respective sales charges (if any), service fees, and distribution fees.
Shareholders of each class also bear certain expenses that pertain to that
particular class. All shareholders bear the common expenses of the Fund and earn
income from the portfolio, pro rata based on the average daily net assets of
each class, without distinction between share classes. Dividends are declared
separately for each class. Gains are allocated to each class pro rata based upon
net assets of each class on the date of distribution. No class has preferential
dividend rights. Differences in per share dividend rates generally result from
the relative weightings of pro rata income and gain allocations and from
differences in separate class expenses, including distribution and service fees.
The following significant accounting policies are consistently followed by the
Company in the preparation of its financial statements, and such policies are in
conformity with generally accepted accounting principles for investment
companies.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of revenues and expenses during the reporting period.
Actual results could differ from those estimates.
INVESTMENT POLICY AND SECURITY VALUATION
Investments in securities for which the primary market is a national securities
exchange or the Nasdaq National Market System are valued at the last reported
sales price on the day of valuation. U.S. Government obligations are valued at
the mean between the last reported bid and ask prices. In the absence of any
sale of such securities on the valuation date and in the case of other
securities, excluding debt securities maturing in 60 days or less, the
valuations are based on latest quoted bid
120
<PAGE>
OVERLAND EXPRESS FUNDS, INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
prices. Debt securities maturing in 60 days or less are valued at amortized
cost. Debt securities other than those maturing in 60 days or less and other
than U.S. Government obligations are valued at the latest quoted bid price.
Securities for which quotations are not readily available are valued at fair
value as determined by procedures approved by the Board of Directors.
The California Tax-Free Money Market, Money Market and U.S. Treasury Money
Market Funds use the amortized cost method to value their portfolio securities
and seek to maintain constant net asset values of $1.00 per share. There is no
assurance these Funds will meet this objective. The amortized cost method
involves valuing a security at its cost and amortizing any discount or premium
over the period until maturity, which approximates market value.
The California Tax-Free Money Market, Money Market, and U.S. Treasury Money
Market Funds invest in securities with remaining maturities not exceeding 397
days (thirteen months), including obligations of the U.S. Government, bankers
acceptances, commercial paper and certain floating-and variable-rate
instruments. Certain of these floating- and variable-rate instruments may carry
a demand feature that would permit the holder to tender them back to the issuer
at par value prior to maturity.
The Strategic Growth, Short-Term Government-Corporate Income and Short-Term
Municipal Income Funds invest only in interests ("Interests") of the Capital
Appreciation Master Portfolio, Short-Term Government-Corporate Income Master
Portfolio and Short-Term Municipal Income Master Portfolio (the "Master
Portfolios"), respectively, of Master Investment Trust (the "Trust"). Each
Master Portfolio has the same investment objective as the Fund bearing the
corresponding name. The value of each Fund's investment in its corresponding
Master Portfolio reflects that Fund's interest in the net assets of that Master
Portfolio. As of June 30, 1996, the Strategic Growth, Short-Term
Government-Corporate Income and Short-Term Municipal Income Funds owned
approximately 83.20%, 99.99% and 99.99% of the outstanding Interests of the
Capital Appreciation Master Portfolio, Short-Term Government-Corporate Income
Master Portfolio and Short-Term Municipal Income Master Portfolio. The Master
Portfolios' investments include equities, fixed-, variable-, and floating-rate
instruments. Certain of these floating- and variable-rate instruments may carry
a demand feature that would permit the holder to tender them back to the issuer
at par value prior to maturity. Except for debt obligations with remaining
maturities of 60 days or less, which are valued at amortized cost, assets are
valued at current market prices, or if such prices are not readily available, at
fair value as determined by procedures approved by the Trust's Board of
Trustees.
Cash equivalents relating to firm commitment purchase agreements are segregated
by the custodian and may not be sold without appropriate replacement while any
firm commitment purchase agreement is outstanding.
121
<PAGE>
OVERLAND EXPRESS FUNDS, INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
SECURITY TRANSACTIONS AND INCOME RECOGNITION
Security transactions are accounted for on the date the securities are purchased
or sold (trade date). Dividend income is recognized on the ex-dividend date, and
interest income is accrued daily. Realized gains or losses are reported on the
basis of identified cost of securities delivered. Bond discounts are accreted
and premiums are amortized as required by the Internal Revenue Code.
TBA PURCHASE COMMITMENTS
The Variable Rate Government Fund enters into "TBA" (to be announced) purchase
commitments to purchase securities for a fixed price at a future date beyond
customary settlement time. Although the unit price of a TBA has been established
when the contract is entered, the principal value will not be finalized until
settlement. However, the amount of the commitment will not fluctuate more than
2% from the principal amount. The Fund holds, and maintains until the settlement
date, cash or high-quality debt obligations in an amount sufficient to meet the
purchase price. TBA purchase commitments may be considered securities in
themselves, and involve a risk of loss if the value of the security to be
purchased declines prior to the settlement date. This risk is in addition to the
risk of decline in the value of the Fund's other assets. Unsettled TBA purchase
commitments are valued at the current market value of the underlying securities,
generally according to the procedures described under "Security Valuation"
above.
Although the Fund generally enters into TBA purchase commitments with the
intention of acquiring securities for its portfolio, the Fund may dispose of a
commitment prior to settlement if the Fund's adviser deems it appropriate to do
so.
TBA purchase commitments at June 30, 1996 were as follows:
<TABLE>
<CAPTION>
DELIVERY COUPON MARKET
AGENCY SHARES/PAR DATE RATE VALUE
<S> <C> <C> <C> <C>
..........................................................................................................
Government National Mortgage Assn. TBA 20,000,000 7/23/96 6.23% $ 19,194,000
</TABLE>
REPURCHASE AGREEMENTS
Transactions involving purchases of securities under agreements to resell
("repurchase agreements") are treated as collateralized financing transactions
and are recorded at their contracted resale amounts. These repurchase
agreements, if any, are detailed in each Fund's or Master Portfolio's Portfolio
of Investments. The Funds' and Master Portfolios' adviser pools the cash and
invests in repurchase agreements entered into by the Funds and Master
Portfolios. The repurchase agreements must be fully collateralized based on
values that are marked to market daily. The collateral is held by an agent bank.
It is the adviser's responsibility to value collateral daily and to obtain
additional collateral as necessary to maintain market value equal to or greater
than the resale price. The repurchase agreements held in the Funds and Master
Portfolios at June 30, 1996 are collateralized by U.S. Treasury or federal
agency obligations. The repurchase agreements were entered into on June 28,
1996.
122
<PAGE>
OVERLAND EXPRESS FUNDS, INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
DISTRIBUTIONS TO SHAREHOLDERS
Dividends to shareholders from net investment income of the Asset Allocation
Fund, if any, are declared and distributed quarterly. Dividends to shareholders
from net investment income of the Strategic Growth Fund, if any, are declared
and distributed annually. Dividends to shareholders from net investment income
are declared daily and distributed monthly for the California Tax-Free Bond,
California Tax-Free Money Market, Money Market, Municipal Income, Short-Term
Government-Corporate Income, Short-Term Municipal Income, U.S. Government
Income, U.S. Treasury Money Market and Variable Rate Government Funds. Any
distributions to shareholders from net realized capital gain are declared and
distributed annually.
FEDERAL INCOME TAXES
The Company's policy with respect to each Fund is to comply with the
requirements of the Internal Revenue Code that are applicable to regulated
investment companies and to distribute substantially all of each Fund's net
investment income and any net realized capital gains to its shareholders.
Therefore, no federal or state income tax provision is required. The following
funds had capital loss carryforwards at December 31, 1995:
<TABLE>
<CAPTION>
YEAR CAPITAL LOSS
FUND EXPIRES CARRYFORWARD
<S> <C> <C>
................................................................................................................
California Tax-Free Money Market Fund 2002 $ 67,605
Money Market Fund 2001 1,392
2002 36,799
2003 155,089
Municipal Income Fund 2002 3,600,931
2003 157,864
U.S. Government Income Fund 2002 1,212,813
2003 725,379
U.S. Treasury Money Market Fund 2002 12,441
2003 13,382
Variable Rate Government Fund 1999 978,191
2000 15,382,953
2001 2,818,400
2002 125,280,827
2003 7,526,188
</TABLE>
The Board intends to offset net capital gains with each capital loss
carryforward until each carryforward has been fully utilized or expires. No
capital gain distribution shall be made until the capital loss carryforward has
been fully utilized or expires.
Due to the timing of dividend distributions and the differences in accounting
for income and realized gains (losses) for financial statement and federal
income tax purposes, the fiscal year in
123
<PAGE>
OVERLAND EXPRESS FUNDS, INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
which amounts are distributed may differ from the year in which the income and
realized gains (losses) were recorded by the portfolio. The differences between
the income or gains distributed on a book versus tax basis are shown as excess
distributions of net investment income and net realized gain on sales of
investments in the accompanying Statements of Changes in Net Assets.
ORGANIZATION EXPENSES
Stephens Inc. ("Stephens"), the Funds' administrator, sponsor and distributor,
has incurred expenses in connection with the organization and initial
registration of the various funds and their classes. These expenses were charged
to the individual Funds and are being amortized by the Funds or their classes on
a straightline basis over 60 months from the date the Funds commenced
operations.
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
The Company has entered into separate advisory contracts on behalf of the Funds,
other than the Short-Term Government-Corporate Income, Short-Term Municipal
Income and Strategic Growth Funds, with Wells Fargo Bank, N.A. ("WFB"). Pursuant
to the contracts, WFB has agreed to provide the Funds with investment guidance
and policy direction in connection with daily portfolio management. Under the
contract with the Asset Allocation Fund, WFB is entitled to be paid a monthly
advisory fee at the annual rate of 0.70% of the Fund's average daily net assets
up to $500 million and 0.60% of the remaining average daily net assets. Under
the contracts with the California Tax-Free Bond, Municipal Income, U.S.
Government Income and Variable Rate Government Funds, WFB is entitled to be paid
a monthly advisory fee at the annual rate of 0.50% of the average daily net
assets of each Fund. Under the contract with the California Tax-Free Money
Market Fund, WFB is entitled to be paid a monthly advisory fee at the annual
rate of 0.45% of the Fund's average daily net assets. Under the contracts with
the Money Market and U.S. Treasury Money Market Funds, WFB is entitled to be
paid a monthly advisory fee at the annual rate of 0.25% of each Fund's average
daily net assets.
The Company has entered into contracts on behalf of each Fund, other than the
Asset Allocation Fund, with WFB whereby WFB is responsible for providing custody
and portfolio accounting services for the Funds. For these Funds, WFB is
entitled to an annual fee for custody services at the annual rate of 0.0167% of
the average daily net assets of each Fund. For portfolio accounting services,
WFB is entitled to a monthly base fee from each Fund of $2,000 plus an annual
fee of 0.07% of the first $50 million, 0.045% of the next $50 million and 0.02%
of the remaining average daily net assets.
BZW Global Fund Advisors ("BGFA") currently acts as sub-adviser to the Asset
Allocation Fund. BGFA is entitled to receive from WFB as compensation for its
sub-advisory services, an annual fee of $60,000 and monthly fees at the annual
rate of 0.20% of the Fund's average daily net assets. BGFA is an indirect
subsidiary of Barclays Bank and is located at 45 Fremont Street, San Francisco,
California 94105. BGFA was formed by the reorganization of Wells Fargo Nikko
Investment Advisors ("WFNIA"), an affiliate of Wells Fargo & Company. Prior to
January 1, 1996, WFNIA acted as sub-adviser to the Fund.
124
<PAGE>
OVERLAND EXPRESS FUNDS, INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
BZW Barclays Global Investors, N.A. ("BGI") currently acts as custodian to the
Fund. BGI is a wholly owned subsidiary of BZW Barclays Global Investors Holdings
Inc. (formerly, The Nikko Building U.S.A., Inc.). BGFA is a subsidiary of BGI.
BGI will not be entitled to receive compensation for its services to the Fund so
long as BGFA is entitled to receive fees for providing investment sub-advisory
services to the Fund. The principal business address of BGI is 45 Fremont
Street, San Francisco, California 94105. Prior to January 1, 1996, BGI was known
as Wells Fargo Institutional Trust Company N.A. ("WFITC") and was an affiliate
of WFB.
The Company has entered into a contract on behalf of the Funds with WFB whereby
WFB provides transfer agent services for the Funds. Under the transfer agency
agreement, WFB is paid a per account fee and other related costs with a minimum
monthly fee of $3,000 per fund, unless net assets of a fund are under $20
million. For as long as a fund's assets remain under $20 million the fund will
not be charged any transfer agency fees by WFB.
The Funds, except the California Tax-Free Money Market, Money Market, Short-Term
Government-Corporate Income, Short-Term Municipal Income and U.S. Treasury Money
Market Funds (which do not offer Class D shares), may enter into service
agreements with one or more servicing agents on behalf of Class D shares of the
Funds. Under such agreements, servicing agents have agreed to provide
shareholder liaison services, including responding to customer inquiries and
providing information on their investments, and to provide such other related
services as the Fund or a Class D shareholder may reasonably request. For these
services, a servicing agent receives a fee, on an annualized basis for the
Fund's then-current fiscal year, not to exceed 0.25% of the average daily net
assets of the Class D shares of the Fund. Service fees paid on behalf of Class D
shares for the six months ended June 30, 1996 are described below:
<TABLE>
<CAPTION>
SERVICE FEE
FUND CLASS D
<S> <C>
.................................................................................................................
Asset Allocation Fund $ 22,483
California Tax-Free Bond Fund 8,425
Municipal Income Fund 14,147
Strategic Growth Fund 45,780
U.S. Government Income Fund 3,122
Variable Rate Government Fund 9,188
</TABLE>
The Company has entered into administration and distribution agreements on
behalf of the Funds with Stephens. Under the agreements, Stephens has agreed to
provide supervisory, administrative and distribution services to the Funds. For
providing supervisory and administrative services, the California Tax-Free Bond,
Short-Term Government-Corporate Income, Short-Term Municipal Income, Strategic
Growth and Variable Rate Government Funds have each agreed to pay Stephens a
monthly fee at the annual rate of 0.15% of each Fund's average daily net assets
up to $200 million and 0.10% of the average daily net assets in excess of $200
million. For the Asset Allocation, California Tax-Free Money Market and U.S.
Government Income Funds, Stephens is entitled to be compensated for
administrative services monthly at the annual rate of 0.10% of the average daily
net
125
<PAGE>
OVERLAND EXPRESS FUNDS, INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
assets of such Fund up to $200 million and 0.05% of the average daily net assets
in excess of $200 million. The Money Market, Municipal Income and U.S. Treasury
Money Market Funds have each agreed to pay Stephens a monthly administrative fee
at the annual rate of 0.10% of each Fund's average daily net assets.
The Company has adopted separate Distribution Plans for Class A and Class D
shares pursuant to Rule 12b-1 under the 1940 Act (each, a "Distribution Plan").
The Class A Distribution Plans for the California Tax-Free Bond, California
Tax-Free Money Market and U.S. Government Income Funds provide that each Fund
may defray all or part of the cost of preparing, printing and distributing
prospectuses and other promotional materials by paying on an annual basis up to
the greater of $100,000 or 0.05% of the Class A shares of a Fund's average daily
net assets for costs incurred. Each Fund may participate in joint distribution
activities with the other Funds, in which event expenses reimbursed out of the
assets of one of the Funds may be attributable, in part, to the distribution-
related activities of another Fund. Generally, the expenses of joint
distribution activities are allocated among the Funds in proportion to their
relative net asset sizes.
The Company also has adopted separate distribution plans pursuant to Rule 12b-1
under the 1940 Act, whereby on behalf of Class A shares of the Asset Allocation,
Money Market, Municipal Income, Strategic Growth, U.S. Treasury Money Market and
Variable Rate Government Funds and shares of the Short-Term Government-Corporate
and Short-Term Municipal Income Funds, a Fund may pay Stephens, as compensation
for distribution-related services, a monthly fee at an annual rate of up to
0.25% of the average daily net assets attributable to the Fund's shares.
Payments under the Distribution Plan for the Class A shares of the Municipal
Income Fund currently are capped by WFB and Stephens at the annual rate of 0.15%
of the average daily net assets of the Class A shares. The Class D Distribution
Plan of the Asset Allocation Fund and Strategic Growth Fund provides that a Fund
may pay the Distributor a monthly fee at an annual rate of up to 0.75% of each
such Fund's average daily net assets attributable to Class D shares. The Class D
Distribution Plan for the California Tax-Free Bond, Municipal Income, U.S.
Government Income and Variable Rate Government Funds may pay Stephens, as
compensation for distribution-related services, a monthly fee at annual rates of
up to 0.50% of the average daily net assets attributable to the Fund's Class D
shares.
<TABLE>
<CAPTION>
DISTRIBUTION FEES
FUND CLASS A
<S> <C>
.................................................................................................................
Asset Allocation Fund $ 66,687
California Tax-Free Bond Fund 0
Municipal Income Fund 40,751
Strategic Growth Fund 83,914
U.S. Government Income Fund 0
Variable Rate Government Fund 745,246
</TABLE>
126
<PAGE>
OVERLAND EXPRESS FUNDS, INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
<TABLE>
<CAPTION>
DISTRIBUTION FEES
FUND CLASS D
<S> <C>
.................................................................................................................
Asset Allocation Fund $ 67,448
California Tax-Free Bond Fund 16,604
Municipal Income Fund 28,295
Strategic Growth Fund 137,339
U.S. Government Income Fund 6,244
Variable Rate Government Fund 18,377
</TABLE>
FEES WAIVED AND EXPENSES REIMBURSED
The following fees/expenses were waived/reimbursed for the six months ended June
30, 1996:
<TABLE>
<CAPTION>
EXPENSES
FEES WAIVED FEES WAIVED REIMBURSED BY
FUND BY WFB BY STEPHENS STEPHENS TOTAL
<S> <C> <C> <C> <C>
.............................................................................................................
Asset Allocation $ 44,172 $ 14,218 $ 0 $ 58,390
California Tax-Free Bond 29,330 102,088 0 131,418
California Tax-Free Money Market 369 0 0 369
Money Market 61,723 0 0 61,723
Municipal Income 132,271 13,086 0 145,357
Short-Term Government-Corporate Income 0 4,346 36,227 40,573
Short-Term Municipal Income 0 8,247 30,679 38,926
Strategic Growth 0 37,230 0 37,230
U.S. Government Income 94,682 6,038 0 100,720
U.S. Treasury Money Market 123,407 0 0 123,407
Variable Rate Government 89,716 170,022 0 259,738
</TABLE>
Fees waived and expenses reimbursed continue at the discretion of WFB and
Stephens.
All of the officers and certain of the directors of the Company are also
officers of Stephens. As of June 30, 1996, Stephens owned 180,335 shares of the
Asset Allocation Fund, 2,851 shares of the U.S. Government Income Fund, 123,930
shares of the U.S. Treasury Money Market Fund and 13,759 shares of the Variable
Rate Government Fund.
Stephens has retained $1,023,335 as sales charges from the proceeds of Class A
shares sold and $13,105 as proceeds from Class D shares redeemed by the Company
for the six months ended June 30, 1996. Wells Fargo Securities Inc., a
subsidiary of WFB, received $118,371 as sales charges from the proceeds of Class
A shares sold and $8,497 as proceeds from Class D shares redeemed by the Company
for the six months ended June 30, 1996.
127
<PAGE>
OVERLAND EXPRESS FUNDS, INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
3. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, exclusive of short-term securities, for each
Fund for the six months ended June 30, 1996, were as follows:
<TABLE>
<CAPTION>
ASSET CALIFORNIA
AGGREGATE PURCHASES ALLOCATION TAX-FREE BOND MUNICIPAL
AND SALES OF: FUND FUND INCOME FUND
<S> <C> <C> <C>
..............................................................................................................
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost $ 21,238,809 $ 0 $ 0
Sales proceeds 0 0 0
OTHER SECURITIES:
Purchases at cost 4,242,951 35,001,611 0
Sales proceeds 23,408,265 47,924,294 4,313,755
</TABLE>
<TABLE>
<CAPTION>
U.S. GOV- VARIABLE RATE
AGGREGATE PURCHASES STRATEGIC ERNMENT GOVERNMENT
AND SALES OF: GROWTH FUND(1) INCOME FUND FUND
<S> <C> <C> <C>
..............................................................................................................
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost $ 0 $ 14,980,625 $ 205,577,750
Sales proceeds 0 16,406,016 273,035,133
OTHER SECURITIES:
Purchases at cost 155,315,937 3,972,291 724,293,187
Sales proceeds 114,213,453 5,735,786 736,075,759
</TABLE>
(1) THE REPORTED PERIOD IS FROM DECEMBER 31, 1995 TO FEBRUARY 20, 1996, BEFORE
THE FUND WAS CONVERTED TO A "MASTER/FEEDER" STRUCTURE. SEE NOTE 6.
All Funds not reflected in this schedule traded exclusively in short-term
securities or were feeder funds that invest all their assets in a corresponding
Master Portfolio.
4. CAPITAL SHARES TRANSACTIONS
As of June 30, 1996, there were 20 billion shares of $.001 par value capital
stock authorized by the Company. As of June 30, 1996, each Fund was authorized
to issue 100 million shares of $.001 par value capital stock for each class of
shares, except the California Tax-Free Money Market, Money Market, U.S. Treasury
Money Market and Variable Rate Government Funds which are authorized to issue
shares as follows:
<TABLE>
<CAPTION>
SHARES
FUND AUTHORIZED
<S> <C>
.................................................................................................................
California Tax-Free Money Market Fund 3 billion
Money Market Fund 1 billion
U.S. Treasury Money Market Fund 1 billion
Variable Rate Government Fund 500 million
</TABLE>
128
<PAGE>
OVERLAND EXPRESS FUNDS, INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
Transactions in capital shares for the six months ended June 30, 1996 are
disclosed in detail in the Statements of Changes in Net Assets.
The following Funds have shareholders who own greater than 5% of the outstanding
shares of the Fund. This concentration of ownership may increase the Fund's
exposure to the risks associated with significant redemptions.
<TABLE>
<CAPTION>
NUMBER OF
SHAREHOLDERS WITH GREATER
FUND THAN 5% OWNERSHIP
<S> <C>
.................................................................................................................
Money Market Fund 5
Municipal Income Fund 2
Short-Term Government-Corporate Income Fund 5
Short-Term Municipal Income Fund 5
U.S. Government Income Fund 2
U.S. Treasury Money Market Fund 2
Variable Rate Government Fund 4
</TABLE>
5. INCOME ALLOCATIONS
The Short-Term Government Corporate-Income, Short-Term Municipal Income and
Strategic Growth Funds are each allocated net investment income from their
corresponding Master Portfolio. The detail of allocated net investment income
for the six months ended June 30, 1996 is as follows:
<TABLE>
<CAPTION>
NET INVESTMENT
INTEREST DIVIDENDS EXPENSES WAIVED FEES INCOME/(LOSS)
<S> <C> <C> <C> <C> <C>
...........................................................................................................
Short-Term Government-Corporate
Income Fund $ 286,497 $ 0 $ 41,810 $ (41,810) $ 286,497
Short-Term Municipal Income Fund 404,393 0 66,580 (66,580) 404,393
Strategic Growth Fund(1) 199,956 59,727 270,612 0 (10,929)
</TABLE>
(1) THIS PERIOD IS FROM FEBRUARY 20, 1996 TO JUNE 30, 1996, AFTER THE FUND
CONVERTED TO A "MASTER/FEEDER" STRUCTURE. SEE NOTE 6.
6. REORGANIZATION OF THE STRATEGIC GROWTH FUND INTO A MASTER/FEEDER STRUCTURE
At a special meeting of the shareholders held on December 5, 1995, shareholders
of the Strategic Growth Fund approved a reorganization of the Fund into a
"master-feeder" structure, whereby the existing Fund invests all of its assets
in a corresponding Master Portfolio of the Master Investment Trust, an open-end
series investment company. On the conversion date the Fund transferred all of
its
129
<PAGE>
OVERLAND EXPRESS FUNDS, INC.
NOTES TO THE FINANCIAL STATEMENTS (UNAUDITED)
investments to the corresponding Master Portfolio. The Fund then became a
"feeder" fund. This reorganization was effected in February 1996. The
reorganization had no impact to shareholders of the existing fund except that
the advisory fee was contractually reduced.
7. VARIABLE RATE GOVERNMENT FUND LITIGATION
A purported class action lawsuit was filed on March 14, 1995 in the United
States District Court for the Southern District of California by Conrad D.
Schaefer and Diane L. Schaefer, Trustees for the Schaefer Family Trust of 1992
against the Overland Express Variable Rate Government Fund, WFB and Wells Fargo
& Company. Plaintiffs voluntarily withdrew that complaint and served defendants
with a First Amended Complaint, also a putative class action, on June 2, 1995.
In the First Amended Complaint, as in the original complaint, plaintiffs sought
to sue on behalf of persons who bought the fund during the period from January
1, 1991 and March 10, 1995, alleging that defendants violated the Securities Act
of 1933, the Securities Exchange Act of 1934, the 1940 Act and common law by,
among other things, failing to disclose adequately the risks of investing in the
Fund. By Order dated October 30, 1995, the Court granted defendants' motions to
dismiss the First Amended Complaint in its entirety. The Court dismissed certain
claims with prejudice, but gave plaintiffs permission to replead other claims.
On January 11, 1996, plaintiffs served defendants with a Second Amended
Complaint. The Second Amended Complaint names Stephens as an additional
defendant and changes the alleged Class to those who purchased, acquired or held
shares of the Fund from June 30, 1993 through December 31, 1994. The Second
Amended Complaint seeks to assert claims under federal and California securities
laws and common law relating to alleged misstatements and omissions in the
prospectuses, reports and marketing materials pertaining to the Fund; it alleges
that the Class as a whole suffered substantial, but unspecified damages in
connection with the purchase of securities covered by the Fund's offering
documents over the course of the specified period. On June 3, 1996, the Court
conditionally certified a Class consisting of all purchasers of Fund shares who
allegedly suffered damages as a result of their purchase. Management of the
Company continues to believe it has meritorious defenses against the suit and
intends to defend vigorously against the suit.
130
<PAGE>
MASTER INVESTMENT TRUST
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED) -
JUNE 30, 1996
<TABLE>
<CAPTION>
SHORT-TERM
GOVERNMENT- SHORT-TERM
CAPITAL CORPORATE MUNICIPAL
APPRECIATION INCOME INCOME
MASTER MASTER MASTER
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
.................................................................................................
ASSETS
INVESTMENTS:
In securities, at market value (see
cost below) $ 175,238,250 $ 18,179,052 $ 19,079,234
Cash 0 198,823 1,703
Receivables:
Dividends and interest 8,206 108,605 324,982
Fund shares sold 759,110 0 0
Investment securities sold 2,580,700 0 0
Due from administrator (Note 2) 0 2,693 2,852
Organization expenses, net of
amortization 0 2,400 1,985
Prepaid expenses 0 73 74
TOTAL ASSETS 178,586,266 18,491,646 19,410,830
LIABILITIES
Cash overdraft due to custodian 50,571 0 0
Payables:
Investment securities purchased 4,591,170 0 750,000
Allocations to beneficial interest
holders 0 61,290 65,990
Fund shares redeemed 152,617 0 0
Due to adviser (Note 2) 192,230 0 0
Other 8,205 15,058 20,833
TOTAL LIABILITIES 4,994,793 76,348 836,823
TOTAL NET ASSETS $ 173,591,473 $ 18,415,298 $ 18,574,007
INVESTMENTS AT COST (NOTE 3) $ 154,030,016 $ 18,245,307 $ 19,079,494
</TABLE>
................................................................................
The accompanying notes are an integral part of these financial statements.
131
<PAGE>
MASTER INVESTMENT TRUST
STATEMENT OF OPERATIONS (UNAUDITED) -
FOR THE SIX MONTHS ENDED JUNE 30, 1996
<TABLE>
<CAPTION>
SHORT-TERM
GOVERNMENT- SHORT-TERM
CAPITAL CORPORATE MUNICIPAL
APPRECIATION INCOME INCOME
MASTER MASTER MASTER
PORTFOLIO(1) PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
.................................................................................................
INVESTMENT INCOME
Dividends $ 57,775 $ 0 $ 0
Interest 191,748 286,497 404,393
TOTAL INVESTMENT INCOME 249,523 286,497 404,393
EXPENSES (NOTE 2)
Advisory fees 238,452 24,105 44,257
Custody fees 12,040 805 1,530
Portfolio accounting fees 34,625 0 0
Amortization of organization expenses 0 342 102
Legal and audit fees 3,606 15,534 18,453
Other 9,016 1,025 2,238
TOTAL EXPENSES 297,739 41,811 66,580
Less:
Waived and reimbursed fees (Note 2) 0 (41,811) (66,580)
NET EXPENSES 297,739 0 0
NET INVESTMENT INCOME (LOSS) (48,216) 286,497 404,393
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) on sale of
investments 5,680,968 (4,063) 9,420
Net change in unrealized appreciation
(depreciation) of investments 21,208,234 (80,846) (129,113)
NET GAIN (LOSS) ON INVESTMENTS 26,889,202 (84,909) (119,694)
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 26,840,986 $ 201,588 $ 284,700
</TABLE>
................................................................................
(1) THIS MASTER PORTFOLIO COMMENCED OPERATIONS ON FEBRUARY 20, 1996.
The accompanying notes are an integral part of these financial statements.
132
<PAGE>
MASTER INVESTMENT TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
CAPITAL SHORT-TERM GOVERNMENT- CORPORATE
APPRECIATION
MASTER
PORTFOLIO INCOME MASTER PORTFOLIO
.............. .................................
(Unaudited) For the
Period Ended (Unaudited) Period Ended
June 30, Period Ended December 31,
1996(1) June 30, 1996 1995
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ (48,216) $ 286,497 $ 150,854
Net realized gain (loss) on sale of
investments 5,680,968 (4,063) 3,975
Net change in unrealized appreciation
(depreciation) of investments 21,208,234 (80,846) 16,126
NET INCREASE RESULTING FROM OPERATIONS 26,840,986 201,588 170,955
NET INCREASE IN NET ASSETS RESULTING
FROM BENEFICIAL INTEREST TRANSACTIONS 146,750,487 12,291,088 5,655,489
INCREASE IN NET ASSETS 173,591,473 12,492,676 5,826,444
NET ASSETS:
Beginning net assets 0 5,922,622 96,178
ENDING NET ASSETS $ 173,591,473 $ 18,415,298 $ 5,922,622
</TABLE>
................................................................................
(1) THIS MASTER PORTFOLIO COMMENCED OPERATIONS ON FEBRUARY 20, 1996.
The accompanying notes are an integral part of these financial statements.
133
<PAGE>
MASTER INVESTMENT TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SHORT-TERM MUNICIPAL INCOME
MASTER PORTFOLIO
.................................
(Unaudited) For the
Six Months Period Ended
Ended December 31,
June 30, 1996 1995
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS:
Net investment income (loss) $ 404,393 $ 617,988
Net realized gain (loss) on sale of
investments 9,420 19,197
Net change in unrealized appreciation
(depreciation) of investments (129,113) 157,711
NET INCREASE RESULTING FROM OPERATIONS 284,700 794,896
NET INCREASE IN NET ASSETS RESULTING
FROM BENEFICIAL INTEREST TRANSACTIONS 1,842,603 3,872,671
INCREASE IN NET ASSETS 2,127,303 4,667,567
NET ASSETS:
Beginning net assets 16,446,704 11,779,137
ENDING NET ASSETS $ 18,574,007 $ 16,446,704
</TABLE>
................................................................................
(1) THIS MASTER PORTFOLIO COMMENCED OPERATIONS ON FEBRUARY 20, 1996.
The accompanying notes are an integral part of these financial statements.
134
<PAGE>
MASTER INVESTMENT TRUST
CAPITAL APPRECIATION AND SHORT-TERM MASTER PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
The Capital Appreciation Master Portfolio, Short-Term Municipal Income Master
Portfolio and Short-Term Government-Corporate Income Master Portfolio (the
"Master Portfolios") are three series of Master Investment Trust (the "Trust"),
a business trust organized under the laws of Delaware on August 14, 1991. The
Trust is registered as an investment company under the Investment Company Act of
1940, as amended (the "1940 Act"). The Declaration of Trust permits the issuance
of beneficial interests ("interests"). The Trust currently issues eight series
of interests: the Asset Allocation, Capital Appreciation, Cash Investment Trust,
Corporate Stock, Tax-Free Money Market, Short-Term Government-Corporate Income,
Short-Term Municipal Income and U.S. Government Allocation Master Portfolios.
These financial statements and notes to the financial statements represent only
the Capital Appreciation, Short-Term Government-Corporate and Short-Term
Municipal Income Master Portfolios.
The following significant accounting policies are consistently followed by the
Trust in the preparation of its financial statements, and such policies are in
conformity with generally accepted accounting principles for investment
companies. These financial statements represent only the Capital Appreciation,
Short-Term Government-Corporate Income and Short-Term Municipal Income Master
Portfolios.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of revenues and expenses during the reporting period.
Actual results could differ from those estimates.
INVESTMENT POLICY AND SECURITY VALUATION
Each Master Portfolio's investments include equities, fixed-, variable- and
floating-rate instruments. Investments in securities for which the primary
market is a national securities exchange or the Nasdaq National Market System
are valued at the last reported sales price on the day of valuation. U.S.
government obligations are valued at the stated mean between the last reported
bid and ask prices. Securities not listed on an exchange or national securities
market, or securities in which there were no transactions, excluding debt
securities maturing in 60 days or less, are valued at the most recent bid
prices, or if such prices are not readily available, at fair value as determined
in accordance with procedures adopted by the Board of Trustees. Debt securities
maturing in 60 days or less are valued at amortized cost, which approximates
market value. Except during temporary defensive periods, the Short-Term
Government-Corporate Income and Short-Term Municipal Income Master Portfolios
each seek to maintain an average weighted maturity ranging from 90 days to 2
years.
135
<PAGE>
MASTER INVESTMENT TRUST
CAPITAL APPRECIATION AND SHORT-TERM MASTER PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
SECURITY TRANSACTIONS AND INCOME RECOGNITION
Security transactions are accounted for on the date the securities are purchased
or sold (trade date). Dividend income is recognized on the ex-dividend date,
interest income is accrued daily. Realized gains and losses are reported on the
basis of identified cost of securities delivered. Bond discounts are accreted
and premiums are amortized as required by the Internal Revenue Code.
FEDERAL INCOME TAXES
Each Master Portfolio intends to qualify for federal income tax purposes as a
partnership. Management of each Master Portfolio therefore believes that it will
not be subject to any federal or state income tax on its income and net capital
gains (if any). However, each investor in a Master Portfolio will be taxed on
its distributive share of the partnership's income for purposes of determining
its federal and state income tax liabilities. The determination of such share
will be made in accordance with the Internal Revenue Code of 1986, as amended
("Code"), and the regulations promulgated thereunder.
It is intended that the Master Portfolios' assets, income, gain/loss and
allocations will be managed in such a way that a regulated investment company
investing in the Master Portfolio will be able to satisfy the requirements of
Subchapter M of the Code, assuming that the investment company invests all of
its assets in the Master Portfolio.
ORGANIZATION EXPENSES
Costs incurred in connection with organization and initial registration as an
investment company under the 1940 Act were advanced by Stephens Inc.
("Stephens"). Organization expenses of each series are being amortized on a
straight line basis over 60 months from the date the series of the Trust
commenced operation.
2. AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
The Trust has entered into separate advisory contracts with WFB on behalf of
each Master Portfolio. Pursuant to the contracts, WFB furnishes investment
guidance and policy direction in connection with daily portfolio management of
each Master Portfolio. Under the contract, WFB is entitled to receive a monthly
advisory fee at an annual rate of 0.50% of the average daily net assets.
The Trust has also entered into a contract with WFB whereby WFB has agreed to
provide custody services for each Master Portfolio. For providing these
services, WFB is entitled to be compensated for custody services based on a rate
of 0.0167% of the average daily net assets of each Master Portfolio.
136
<PAGE>
MASTER INVESTMENT TRUST
CAPITAL APPRECIATION AND SHORT-TERM MASTER PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
FEES WAIVED AND EXPENSES REIMBURSED
Fees waived and expenses reimbursed for the six months ended June 30, 1996, were
as follows:
<TABLE>
<CAPTION>
FEES WAIVED EXPENSES REIMBURSED
MASTER PORTFOLIO BY WFB BY STEPHENS
<S> <C> <C>
................................................................................................................
Capital Appreciation $ 0 $ 0
Short-Term Government-Corporate Income 24,910 16,901
Short-Term Municipal Income 45,787 20,793
</TABLE>
Fees waived and expenses reimbursed continue at the discretion of WFB and
Stephens.
3. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments, exclusive of securities with maturities of
one year or less at purchase date, for the Capital Appreciation Master
Portfolio, the Short-Term Government-Corporate Income Master Portfolio and the
Short-Term Municipal Income Master Portfolio, respectively, for the six months
ended June 30, 1996, were as follows:
<TABLE>
<CAPTION>
SHORT-TERM
GOVERNMENT- SHORT-TERM
AGGREGATE PURCHASES CAPITAL APPRECIATION CORPORATE INCOME MUNICIPAL INCOME
AND SALES OF: MASTER PORTFOLIO(1) MASTER PORTFOLIO MASTER PORTFOLIO
<S> <C> <C> <C>
...............................................................................................................
U.S. GOVERNMENT OBLIGATIONS:
Purchases at cost $ 0 $ 0 $ 0
Sales proceeds 0 0 0
OTHER LONG-TERM SECURITIES:
Purchases at cost 201,190,895 14,432,784 7,965,477
Sales proceeds 67,252,549 1,855,199 5,718,480
</TABLE>
(1) THE PERIOD REPORTED IS FROM COMMENCEMENT OF OPERATIONS, FEBRUARY 20, 1996,
TO JUNE 30, 1996.
137
<PAGE>
MASTER INVESTMENT TRUST
CAPITAL APPRECIATION AND SHORT-TERM MASTER PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
4. FINANCIAL HIGHLIGHTS
The portfolio turnover rates, excluding securities with maturities of one year
or less at purchase date for each Master Portfolio for the six months ended June
30, 1996 are as follows:
<TABLE>
<CAPTION>
Capital
Appreciation
Master Short-Term Government-Corporate Short-Term Municipal Income
Portfolio Income Master Portfolio Master Portfolio
............ .................................... ....................................
From From From
Feb. 20, Sept. 19, June 3,
1996 1994 1994
(Inception) Six Months Year (Inception) Six Months Year (Inception)
to Ended Ended to Ended Ended to
June 30, June 30, Dec. 31, Dec. 31, June 30, Dec. 31, Dec. 31,
1996 1996 1995 1994 1996 1995 1994
<S> <C> <C> <C> <C> <C> <C> <C>
.................................................................................................................
PORTFOLIO TURNOVER 52% 51% 227% 0% 31% 46% 8%
</TABLE>
138
<PAGE>
LIST OF ABBREVIATIONS
<TABLE>
<S> <C> <C>
ABAG -- Association of Bay Area Governments
ADR -- American Depository Receipts
AMBAC -- American Municipal Bond Assurance Corporation
AMT -- Alternative Minimum Tax
ARM -- Adjustable Rate Mortgages
BART -- Bay Area Rapid Transit
CDA -- Community Development Authority
CDSC -- Contingent Deferred Sales Charge
CGIC -- Capital Guaranty Insurance Company
CGY -- Capital Guaranty Corporation
CMT -- Constant Maturity Treasury
COFI -- Cost of Funds Index
CONNIE LEE -- Connie Lee Insurance Company
COP -- Certificate of Participation
CP -- Commercial Paper
DW&P -- Department of Water & Power
DWR -- Department of Water Resources
EDFA -- Education Finance Authority
FGIC -- Financial Guaranty Insurance Corporation
FHA -- Federal Housing Authority
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
FSA -- Financial Security Assurance, Incorporated
GNMA -- Government National Mortgage Association
GO -- General Obligation
HFA -- Housing Finance Authority
HFFA -- Health Facilities Financing Authority
IDA -- Industrial Development Authority
LIBOR -- London Interbank Offered Rate
LOC -- Letter of Credit
MBIA -- Municipal Bond Insurance Association
MFHR -- Multi-Family Housing Revenue
MUD -- Municipal Utility District
PCFA -- Pollution Control Finance Authority
PCR -- Pollution Control Revenue
PFA -- Public Finance Authority
PSFG -- Public School Fund Guaranty
RAW -- Revenue Anticipation Warrants
RDA -- Redevelopment Authority
RDFA -- Redevelopment Finance Authority
R&D -- Research & Development
SFMR -- Single Family Mortgage Revenue
TBA -- To Be Announced
TRAN -- Tax Revenue Anticipation Notes
USD -- Unified School District
V/R -- Variable Rate
</TABLE>
139
<PAGE>
(THIS PAGE INTENTIONALLY LEFT BLANK)
140
<PAGE>
OVERLAND EXPRESS FUNDS, INC.
SHORT-TERM MUNICIPAL INCOME FUND
SHORT-TERM GOVERNMENT-CORPORATE INCOME FUND
SUPPLEMENT DATED JULY 24, 1996
TO PROSPECTUS DATED MAY 1, 1996
The following three paragraphs replace the fourth paragraph under the prospectus
section "Management of the Funds and the Master Portfolios -- Investment
Adviser":
Ms. Tamyra Thomas assumed responsibility as portfolio co-manager for the
day-to-day management of the portfolio of the Short-Term Government-Corporate
Income Master Portfolio as of July 16, 1996. Ms. Thomas is a senior
vice-president and the chief fixed income investment officer of the Investment
Management Group Policy Committee. Ms. Thomas has managed bond portfolios for
over a decade. She currently manages in excess of $1 billion of long-term
taxable bond portfolios for various foundations, defined benefit plans and other
clients. Prior to joining Wells Fargo Bank in early 1988, she held a number of
senior investment positions for the Valley Bank & Trust Company of Utah
including vice president and manager of the investment department and chairman
of the Trust Investment Committee. She holds a B.S. from the University of Utah
and was past president of the Utah Bond Club. Ms. Thomas is a Chartered
Financial Analyst.
Ms. Madeline Gish also assumed responsibility as portfolio co-manager for
the day-to-day management of the portfolio of the Short-Term
Government-Corporate Income Master Portfolio as of July 16, 1996. Ms. Gish
joined Wells Fargo Bank in 1989 as the portfolio coordinator for the Mutual
Funds Division and played an integral part in the rapid growth of the Overland
Express Funds. Since joining the fixed-income group in 1992, Madeline has
assisted in the research and trading for the adjustable-rate mortgage fund and
is currently managing taxable liquidity portfolios. She holds a bachelor of
science degree in business administration from the University of Kansas and is a
Chartered Financial Analyst candidate.
Mr. Scott Smith also assumed responsibility as portfolio co-manager for the
day-to-day management of the portfolio of the Short-Term Government-Corporate
Income Master Portfolio as of July 16, 1996. He joined Wells Fargo Bank in 1988
as a taxable money market portfolio specialist. His experience includes a
position with a private money management firm with mutual fund investment
operations. Mr. Smith holds a B.A. degree from the University of San Diego and
is a Chartered Financial Analyst.
<PAGE>
[WAGON WHEEL]
OVERLAND
EXPRESS-R-
POST OFFICE BOX 63084
SAN FRANCISCO, CA 94163
This report and the financial statements contained herein are submitted for
the general information of the shareholders of the Overland Express Funds.
If this report is used for promotional purposes, distribution of the report
must be accompanied or preceded by a current prospectus. For a prospectus
containing more complete information, including charges and expenses, call
1.800.552.9612. Read the prospectus carefully before you invest.
THIS BOOKLET INCLUDES THE SEMI-ANNUAL REPORT AND A PROSPECTUS SUPPLEMENT.
THE PROSPECTUS SUPPLEMENT APPEARS ON THE INSIDE BACK COVER.
OEX SAR1 9/96
DATED MATERIAL -- PLEASE EXPEDITE
